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Model nepozorovaných komponent a jeho využití při identifikaci společných trendů časových řad
[The model of unobservable components and its use for identification of time series common trends]

Author

Listed:
  • Josef Arlt
  • Petr Pokorný

Abstract

The co-integration of time series indicates the presence of their common trends. For analytical purpose it is important to transform some time series into gap form. This transformation can be received as a difference between the time series and the common trends. The model of demand for money in Czech Republic created by real M2, real GDP and 1R PRIBOR time series contains two common trends. These trends are estimated from the state space form of unobservable components model. The gap transformations of real M2 and real GDP series can be used for identification of inflation risks. The relatively high correlation was found between gap form of M2 and rate of inflation. The relationship between gap form of GDP and rate of inflation is not so close.

Suggested Citation

  • Josef Arlt & Petr Pokorný, 2006. "Model nepozorovaných komponent a jeho využití při identifikaci společných trendů časových řad [The model of unobservable components and its use for identification of time series common trends]," Politická ekonomie, Prague University of Economics and Business, vol. 2006(1), pages 48-55.
    • Handle: RePEc:prg:jnlpol:v:2006:y:2006:i:1:id:545:p:48-55
    DOI: 10.18267/j.polek.545
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    References listed on IDEAS

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    1. Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 341-360, Oct.-Dec..
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    4. Gali, Jordi & Gertler, Mark & Lopez-Salido, J. David, 2001. "European inflation dynamics," European Economic Review, Elsevier, vol. 45(7), pages 1237-1270.
    5. Durbin, James & Koopman, Siem Jan, 2012. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, edition 2, number 9780199641178.
    6. Josef Arlt & Milan Guba & Štěpán Radkovský & Vladimír Stiller & Milan Sojka, 2002. "Selected factors influencing the money demand development in the czech republic in 1994 - 2000," Prague Economic Papers, Prague University of Economics and Business, vol. 2002(1), pages 39-56.
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    More about this item

    Keywords

    inflation; common trends; model of unobservable components; state-space; gap;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money

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