Testing for trading-day effects in production in industry: a Bayesian approach
Testing for trading-day effects in production in industry: a Bayesian approach
Author(s): Łukasz LenartSubject(s): Economy, Supranational / Global Economy, Social Informatics, ICT Information and Communications Technologies
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: trading-day effect; production in industry; almost periodic function; AR model;
Summary/Abstract: The aim of this paper is to construct a parametric method in a Bayesian framework to identify trading-day frequency for monthly data. The well-known visual spectral test (implemented, for example, in X-12-ARIMA) is a popular tool in the literature. In the article’s proposed method ,the assumption concerning the almost periodicity of the mean function plays a central role. We use a set of frequencies that corresponds to the trading-day effect for monthly data. As an illustration, we examine this effect in production in industry in European economies for data adjusted by working days and for gross data.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XVIII/2017
- Issue No: 1
- Page Range: 88-98
- Page Count: 11
- Language: English