. . . "Summary:The aim of thesolved project was to carry out a research concerning properties of thresholdautoregressive models (SETAR), with emphasis put on testing unit root againstnonlinear alternative. The results were published in the several reviewed"@en . "11"^^ . "The aim of the presented project is to carry out a research concerning properties of Threshold Autoregressive models, model building with emphasis put on testing unit root against nonlinear alternative and verification of application possibilities of these models on economic data. At the theoretical level we will carry out a research of asymptotic properties of unit root tests against nonlinear alternative and Monte Carlo investigation of size and power performance of these tests in finite samples incomparison with the Augmented Dickey-Fuller test. At the practical Ievel we aim to identify suitable economic situations in which threshold behaviour is justified by the economic theory (for instance, in modelling an exchange rate in a target zone, term structure of mterest rates or verifying the purchasing power parity), however, the standard unit root tests are not able to reject the unit root hypothesis. Tests being capable to discriminate between nonstationary linear processes and threshold"@en . . . "Souhrn: C\u00EDlem projektu byl v\u00FDzkum vlastnost\u00EDprahov\u00FDch autoregresn\u00EDch model\u016F (SETAR), s d\u016Frazem testov\u00E1n\u00ED jednotkov\u00E9hoko\u0159ene oproti neline\u00E1rn\u00ED alternativ\u011B. V\u00FDsledky byly publikov\u00E1ny v n\u011Bkolikarecenzovan\u00FDch \u010Dasopisech. \u010Cl\u00E1nek [2] je v\u011Bnov\u00E1n skute\u010Dnost"@cs . . "11"^^ . "1"^^ . "Threshold autoregressive models and their applications in economics"@en . . "GA402/05/2394" . . "0"^^ . "Prahov\u00E9 autoregresivn\u00ED modely a jejich aplikace v ekonomii" . . "0"^^ . . . "http://www.isvav.cz/projectDetail.do?rowId=GA402/05/2394"^^ . . . . . . "Neuvedeno."@en . . . "2007-10-16+02:00"^^ . "C\u00EDlem navrhovan\u00E9ho projektu je v\u00FDzkum vlastnost\u00ED prahov\u00FDch autoregresn\u00EDch model\u016F, ot\u00E1zky konstrukce t\u011Bchto model\u016F s d\u016Frazem na testov\u00E1n\u00ED jednotkov\u00E9ho ko\u0159ene oproti neline\u00E1rn\u00ED alternativ\u011B, a ov\u011B\u0159en\u00ED mo\u017Enost\u00ED aplikace t\u011Bchto model\u016F na ekonomick\u00E1 data. Z hlediska teoretick\u00E9ho se jedn\u00E1 zejm\u00E9na o v\u00FDzkum asymptotick\u00FDch vlastnost\u00ED test\u016F jednotkov\u00E9ho ko\u0159ene oproti neline\u00E1rn\u00ED alternativ\u011B a simula\u010Dn\u00ED ov\u011B\u0159en\u00ED hladiny test\u016F a jejich s\u00EDly v kone\u010Dn\u00FDch v\u00FDb\u011Brech v porovn\u00E1n\u00ED s roz\u0161\u00ED\u0159en\u00FDm Dickey-Fullerov\u00FDm testem. V rovin\u011B praktick\u00FDch aplikac\u00ED je c\u00EDlem projektu identifikovat ekonomick\u00E9 situace, kde prahov\u00E9 chov\u00E1n\u00ED je od\u016Fvodn\u011Bno ekonomickou teori\u00ED (nap\u0159. pro modelov\u00E1n\u00ED devizov\u00E9ho kurzu v c\u00EDlov\u00E9 z\u00F3n\u011B, \u010Dasov\u00E9 struktury \u00FArokov\u00FDch m\u011Br \u010Di ov\u011B\u0159ov\u00E1n\u00ED parity kupn\u00ED s\u00EDly), alestandardn\u00ED testy nejsou schopny zam\u00EDtnout hypot\u00E9zu o p\u0159\u00EDtomnosti jednotkov\u00E9ho ko\u0159ene. Na z\u00EDskan\u00E1 data pak budou aplikov\u00E1ny takov\u00E9 testy jednotkov\u00E9ho ko\u0159ene, kter\u00E9 jsou schopny rozli\u0161it mezi nestacion\u00E1rn\u00EDm line\u00E1rn\u00EDm a prahov\u00FDm stacion\u00E1rn\u00EDm" . . . .