Bc. Milan Machalec

Master's thesis

Modely a metody analýzy ekonomických časových řad

The Analysis of Economic Time-Series: Models and Methods
Abstract:
The thesis is focused on the analysis of economic time series of Slovak and Czech GDP, Slovak and Czech unemployment rate and CZK/EUR exchange rate. We put emphasis on nonlinear models like SETAR, LSTAR and ESTAR. Estimation results of these models are compared with the results obtained from linear models and we test forecast performance of these models. Thesis also contains recursive parameters estimates …more
Abstract:
Diplomová práca sa zaoberá analýzou ekonomických časových radov HDP Slovenska a Česka, miery nezamestnanosti Slovenska a Česka a výmenného kurzu CZK/EUR. Dôraz je kladený na nelineárne SETAR, LSTAR a ESTAR modely. Výsledky odhadov týchto modelov sú porovnané s výsledkami odhadov lineárnych modelov a je testovaná predikčná schopnosť týchto modelov. Súčasťou práce je aj rekurzívny odhad parametrov.
 

Keywords

SETAR model LSTAR model ESTAR model AR model časové rady time series
 
Language used: Slovak
Date on which the thesis was submitted / produced: 29. 4. 2011
Identifier: https://is.muni.cz/th/natj3/

Thesis defence

  • Date of defence: 17. 6. 2011
  • Supervisor: Ing. Daniel Němec, Ph.D.
  • Reader: Ing. Michal Kvasnička, Ph.D.

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Institution archiving the thesis and making it accessible: Masarykova univerzita, Ekonomicko-správní fakulta
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Masaryk University

Faculty of Economics and Administration

Master programme / field:
Quantitative Methods in Economy / Mathematical and Statistical Methods in Economics

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