TRANSFORMATION OF THE STATISTICAL APPROACH TO ALLOCATION OF DYNAMICS OF ECONOMIC CYCLES

Authors

  • V. Ya. Danylov National Technical University of Ukraine «Kyiv Polytechnic Institute»
  • N. S. Hlukhova National Technical University of Ukraine «Kyiv Polytechnic Institute»

Keywords:

economic cycles, trend, ARIMA-model, H-P-filters

Abstract

The major statistical approaches to the decomposition of economic time series and trend cycle component have been highlighted in the paper. There have been defined the basic disadvantages of empirical studies in Ukraine related to the neglecting of the characteristics of the trend in economic data. It deals with the problem of forecasting of economic processes using ARIMA-models. The recommendations on how to study time series of economic studies have been formed in the article.

Author Biographies

V. Ya. Danylov, National Technical University of Ukraine «Kyiv Polytechnic Institute»

Dr. Sc. (Eng.), Professor, Professor of the Chair of Mathematical Methods of System Analysis

N. S. Hlukhova, National Technical University of Ukraine «Kyiv Polytechnic Institute»

Student

References

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2. Wolters J. Unit root testing / J. Wolters, U. Hassler // AStA Advances in Statistical Analysis. — Vol. 90. — Issue 1. — 2006. — Pp. 43—58.
3. Campbell J. Pitfalls and opportunities: what macroeconomists should know about unit roots / J. Campbell, P. Perron // NBER Macroeconomics annual. — Vol. 6. — 1991. — Pp. 141—220.
4. Canova F. Detrending and business cycle facts / F. Canova // Journal of Monetary Economics. — Vol. 41. — № 3. — 1998. — Pp. 475—512.
5. Harvey A. C. Detrending, Stylized Facts and the Business Cycle / A. C. Harvey, A. Jaeger // Journal of Applied Econometrics. — Vol. 8, No. 3. (Jul. — Sep., 1993).

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Published

2015-12-18

How to Cite

[1]
V. Y. Danylov and N. S. Hlukhova, “TRANSFORMATION OF THE STATISTICAL APPROACH TO ALLOCATION OF DYNAMICS OF ECONOMIC CYCLES”, Вісник ВПІ, no. 5, pp. 63–68, Dec. 2015.

Issue

No. 5 (2015)

Section

Economics and management

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