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Nieklasyczne modele Markowa w analizie cykli koniunktury gospodarczej w Polsce

Author

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  • Michał Bernardelli

    (Szkoła Główna Handlowa w Warszawie)

Abstract

Badanie cykli koniunkturalnych stanowi jedno z podstawowych źródeł oceny aktualnej i przyszłej sytuacji gospodarczej. Do analizy zmian klimatu koniunktury w Polsce z powodzeniem wykorzystuje się nieklasyczne modele Markowa. Przedmiotem badania było wykorzystanie wielostanowych modeli Markowa do analizy wyników testu koniunktury w przemyśle prowadzonym przez Instytut Rozwoju Gospodarczego Szkoły Głównej Handlowej w Warszawie. W przeprowadzonych badaniach szczególny nacisk został położony na modele rozszerzone o efekty przestrzenne, dzięki uwzględnieniu jako danych wejściowych łańcucha Markowa kombinacji par szeregów sald odpowiedzi na pytania testu koniunktury. Porównana została dokładność tych modeli z ukrytymi modelami Markowa związanymi z szeregiem sald odpowiedzi na pojedyncze pytania testu. Zweryfikowana została także przydatność zaprojektowanych modeli pod kątem identyfikacji punktów zwrotnych cyklu koniunkturalnego w Polsce.

Suggested Citation

  • Michał Bernardelli, 2013. "Nieklasyczne modele Markowa w analizie cykli koniunktury gospodarczej w Polsce," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 30, pages 59-74.
    • Handle: RePEc:sgh:annals:i:30:y:2013:p:59-74
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    References listed on IDEAS

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    1. Mariusz Próchniak & Bartosz Witkowski, 2012. "Bayesian Model Averaging in Modelling GDP Convergence with the Use of Panel Data," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 26, pages 45-60.
    2. Próchniak, Mariusz & Witkowski, Bartosz, 2013. "Time stability of the beta convergence among EU countries: Bayesian model averaging perspective," Economic Modelling, Elsevier, vol. 30(C), pages 322-333.
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    Cited by:

    1. Michal Bernardelli & Mariusz Prochniak & Bartosz Witkowski, 2017. "The application of hidden Markov models to the analysis of real convergence," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 17, pages 59-80.

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