English, Article edition: THE MODEL OF UNOBSERVABLE COMPONENTS AND ITS USE FOR IDENTIFICATION OF TIME SERIES COMMON TRENDS Petr POKORNÝ; Josef ARLT; 130 67 Prague 3 (e-mail: arlt@vse.cz

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Bookmark: http://trove.nla.gov.au/version/197836
Physical Description
  • article
Language
  • English

Edition details

Title
  • THE MODEL OF UNOBSERVABLE COMPONENTS AND ITS USE FOR IDENTIFICATION OF TIME SERIES COMMON TRENDS
Author
  • Petr POKORNÝ
  • Josef ARLT
  • 130 67 Prague 3 (e-mail: arlt@vse.cz
Physical Description
  • article
Notes
  • state-space, model of unobservable components, inflation, gap, common trends
  • RePEc:prg:jnlpol:v:2006:y:2006:i:1:id:545:p:48-55
  • 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.
  • inflation, common trends, model of unobservable components, state-space, gap
Language
  • English
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