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SIMPLE UNIT ROOT TEST ROBUST TO OUTLIERS

100%

Rosiak-Lada K.

Przegląd Statystyczny

2007

tom 54

nr 4

34-48

In this article an alternative method for analysis the integration of time series is proposed. The procedure is appropriate in the presence of outliers and was called 'linearized Dickey-Fuller test'. The method is based on the assumption that the data is generated by some ARIMA (Autoregressive integrated moving average) proces. In the first step, the outliers are identified on the basis of likelihood ratio tests, using REGARIMA model. Then, the estimated effect of outliers is removed from the data. In the last step, the Dickey-Fuller test is applied to the adjusted series. It is shown, via simulations, that the procedure leads to the unit root test with accurate finite sample size and considerably improved power.

Stylized Facts of Macroeconomics: the Polish Experience

100%

Rosiak-Lada K.

Ekonomia. Rynek, Gospodarka, Społeczeństwo

2008

nr 20

51-67

The aim of this paper is to provide detailed analysis of quarterly frequency dynamics in macroeconomic aggregates in Poland. The following areas of concern have been included: the balanced growth theory, the comparison of empirical performance of the New Classical, New Keynesian and Hybrid Philips curve specifications and the changes of macroeconomic stylized facts across the monetary regimes. Thorough analysis of those, as well as other facts, may contribute significantly to the development of macromodelling of Poland. Analysis of other facts has also been conducted, however due to limited space is not provided. The main result of the presented analysis is to give overwhelming evidence that the standard textbook stylized facts of macroeconomics present a reasonably good approximation to the behaviour of Polish economy, providing that this analysis takes into account that the Polish time series are contaminated with outliers.