Model Stocka i Watsona oraz jego modyfikacje — Analiza inflacji w Polsce

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dc.contributor.authorKwiatkowski, Jacek
dc.date.accessioned2020-02-25T11:29:27Z
dc.date.available2020-02-25T11:29:27Z
dc.date.issued2009
dc.description.abstractThe paper presents general local level model with stochastic volatility, recently proposed for U.S. inflation by Stock and Watson. The main purpose is to present and compare other local level model specifications, especially with Normal GARCH and Student-t GARCH disturbances. The paper is a full Bayesian analysis and concerns inflation in Poland during 1992-2007. The model selection and posterior estimates provide strong evidence in favor of a model with heavy-tailed disturbances in the core component, and the transitory component. Also, after the system transformations in the early 90's, the volatility of the disturbances driving both components have been substantially decreasing over time.pl
dc.identifier.citationFolia Oeconomica Cracoviensia 2008-2009, Vol. XLIX-L, s. 145-168.pl
dc.identifier.issn0071-674Xpl
dc.identifier.urihttp://hdl.handle.net/11315/27915
dc.language.isoplpl
dc.publisherOficyna Wydawnicza AFMpl
dc.rightsUznanie autorstwa-Użycie niekomercyjne-Bez utworów zależnych 3.0 Polska*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/pl/*
dc.subjectlocal level modelpl
dc.subjectBayesian Model Comparisonpl
dc.subjectInflationpl
dc.subjectconditional heteroscedasticitypl
dc.subjectModel lokalnego poziomupl
dc.subjectbayesowskie testowanie modelipl
dc.subjectinflacjapl
dc.subjectwarunkowa heteroskedastycznośćpl
dc.subject.otherEkonomiapl
dc.titleModel Stocka i Watsona oraz jego modyfikacje — Analiza inflacji w Polscepl
dc.typeArtykuł
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