Acta Univ. Agric. Silvic. Mendelianae Brun. 2010, 58, 189-196

https://doi.org/10.11118/actaun201058030189
Published online 2014-09-27

Industrial production periodicity testing using R. A. Fisher test

Jitka Poměnková1, Roman Maršálek2

1Ústav financí, Mendelova univerzita v Brně, Zemědělská l, 613 00 Brno, Česká republika
2Ústav radioelektroniky, Fakulta elektrotechniky a komunikačních technologií, Vysoké učení technické v Brně, Purkyňova 118, 612 00 Brno, Česká republika

The aim of this paper is to evaluate statistical significance of the business cycle periodicity types in the Czech Republic between 1996/Q1–2008/Q4. Cyclical fluctuation representing a growth business cycle is taken as the result of de-trending input values using filtering techniques, namely Hodrick-Prescott filter and Baxter-King filters. Thereafter, identification of periodicity type is viewed from frequency analysis perspective, i.e. using harmonic analysis. Critical values for the 1%, 5% and 10% risk for the test designed by R. A. Fisher are derived and enumerated. Comparing values of periodogram with critical values of the R. A. Fisher test conclusion about statistic significance of periodicity is fi­nis­hed. Growth business cycle is identified on the basis of quarterly values of industrial production in the Czech Republic 1996/Q1–2008/Q4. Obtained results – the lengths of significance periods – are compared with economic studies.

References

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