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Lenart Łukasz (Cracow University of Economics, Poland / Wydział Finansów i Prawa), Pipień Mateusz (Cracow University of Economics, Poland / Wydział Zarządzania)
Non-Parametric Test for the Existence of the Common Deterministic Cycle : the Case of the Selected European Countries
Central European Journal of Economic Modelling and Econometrics (CEJEME), 2017, vol. 9, nr 3, s. 201-241, rys., tab., Appendix, bibliogr. 55 poz.
Słowa kluczowe
Testy statystyczne, Wskaźniki makroekonomiczne, Wahania koniunkturalne, Analiza widmowa, Analiza szeregów czasowych, Cykl deterministyczny
Statistical tests, Macroeconomic indicators, Business fluctuations, Spectral analysis, Time-series analysis, Deterministic cycle
summ.; Klasyfikacja JEL: C14, C46, E32
The aim of the article is to construct an asymptotically consistent test, based on a subsampling approach, to verify hypothesis about existence of the individual or common deterministic cycle in coordinates of multivariate macroeconomic time series. By the deterministic cycle we mean the periodic or almost periodic fluctuations in the mean function in cyclical fluctuations. To construct test we formulate a multivariate non-parametric model containing the business cycle component in the unconditional mean function. The construction relies on the Fourier representation of the unconditional expectation of the multivariate Almost Periodically Correlated time series and is related to fixed deterministic cycle presented in the literature. The analysis of the existence of common deterministic business cycles for selected European countries is presented based on monthly industrial production indexes. Our main findings from the empirical part is that the deterministic cycle can be strongly supported by the data and therefore should not be automatically neglected during analysis without justification. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Pełny tekst
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