Almost Periodically Correlated Time Series in Business Fluctuations Analysis

• Authors: Ł. Lenart , M. Pipień
• Languages of publication: EN

Abstracts

EN

We propose a non-standard subsampling procedure to make formal statistical inference about the business cycle, one of the most important unobserved feature characterising fluctuations of economic growth. We show that some characteristics of business cycle can be modelled in a non-parametric way by discrete spectrum of the almost periodically correlated time series. On the basis of estimated characteristics of this spectrum business cycle is extracted by filtering. As an illustration we characterise the main properties of business cycles in industrial production index for Polish economy.

Keywords

EN

89.65.Gh; 05.10.Gg

Discipline

• 05.10.Gg: Stochastic analysis methods (Fokker-Planck, Langevin, etc.)
• 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2013
• Volume: 123
• Issue: 3
• Pages: 567-583

Dates

published

2013-03

Contributors

author

Ł. Lenart

• Economic Institute in National Bank of Poland, Świętokrzyska 11/21, 00-919 Warszawa, Poland
• Department of Mathematics in Cracow University of Economics, Rakowicka 27, 31-510 Kraków, Poland

author

M. Pipień

• Economic Institute in National Bank of Poland, Świętokrzyska 11/21, 00-919 Warszawa, Poland
• Department of Econometrics and Operations Research in Cracow University of Economics, Rakowicka 27, 31-510 Kraków, Poland

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Identifiers

DOI

10.12693/APhysPolA.123.567