RT Journal Article
SR Electronic
A1 Poměnková, Jitka
A1 Maršálek, Roman
T1 Industrial production periodicity testing using R. A. Fisher test
JF Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
YR 2014
VO 58
IS 3
SP 189
OP 196
DO 10.11118/actaun201058030189
UL https://acta.mendelu.cz/artkey/acu-201003-0020.php
AB 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.