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Selected Unit Root Tests in Time series
Fedorová, Darina ; Arltová, Markéta (advisor) ; Hindls, Richard (referee)
The emphasis of this diploma thesis is placed on the verification of stationarity in time series using the Unit Root Tests and their most common modifications that are introduced in the theoretical part of this paper. Tests mainly by Dickey and Fuller, Phillips and Perron, and KPSS test are introduced as well as their modifications in the form of ERS, Ng and Perron, and Leybourne and McCabe tests. Moreover the HEGY test for testing stationarity in the seasonal Time series and Perron test of structural breaks for Time series with shocks are described. There is also outlined the process of testing multiple Unit Roots. The empirical part of this paper consists of simulations of AR(1) time series generated using the software R, their testing for stationarity by selected Unit Root tests and the comparison of power of these tests. The conclusion includes recommendations which tests and under what conditions are the most suitable for testing Time series for the presence of Unit Root.
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Convergence processes of profitability and company growth
Rajdl, Josef ; Mařík, Miloš (advisor) ; Hindls, Richard (referee) ; Kodera, Jan (referee)
In this dissertation thesis I analyzed the convergence of the profitability and growth of Czech companies in order to improve the business valuation process. In the first part of this thesis the present theoretical and empirical research of the convergence are described. The main goal was to find facts that prove or disprove the existence of the convergence processes. Another goal was to judge existing income valuation models that use convergence approaches. The second part of my thesis is focused on the empirical studies of growth and profitability. The purpose of this part was to identify the problems (so that they could be avoided in my research), to determine the direction of my research and to find tools that should be useful for the analysis. Simultaneously I tried to find evidence to support or to refute the certain patterns of the development of profitability and growth, such as random process, stability or convergence. Briefly summarized, convergence processes are supported in general and also in specific economic theory, because they result from the existence of the competitive advantages that are necessary to renew. However, empirical studies are focused only on foreign markets and their results differ, mainly in various regions, industrial branches and in time. There is no such analysis compiled for the Czech market, so I deal with the convergence of the profitability and of the growth of Czech companies in the third part of my dissertation thesis. Both characteristics are tested using the panel data and also the time-series of the individual companies. Panel data are tested in order to determine distribution of the dynamics of the profitability and of the growth. At the same time related phenomena, which cohere with some patterns of the development of the observed characteristics, are searched -- such as random process or persistence of profitability and growth. In the tests of the individual time-series I try to identify the patterns of progress of profitability and growth. In this part of thesis I used several tools of the mathematical statistics. From outcomes recommendations for the business valuation were suggested. The process of the elimination of the highest level of the profitability and growth is fast. The research confirms that the individual growth and profitability of most of the companies is random. Certain indications of persistence of the profitability were found in the case of relevant number of companies in the medium period, but not in long term. The persistence of the growth is rare not only in long period but also in the medium period. From the results of this thesis that can be highlighted, it was proven that the models based on convergence process can be used only in the case of subjects that achieve stable and high level of the profitability. If there is indicated the random process of the profitability in majority of subjects and if there is possible the convergence by the oscillation, the unsuitable application of the convergence process will lead to great mistake.
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Construction of Linear Stochastic Models of SARIMA Class Time Lines – Automatized Method
Trcka, Peter ; Arlt, Josef (advisor) ; Hindls, Richard (referee)
This work concerns the creation of automatized procedure of ARIMA and SARIMA class model choice according to Box-Jenkins methodology and in this connection, also deals with force testing of unit roots and analysis of applying of informatics criteria when choosing a model. The goal of this work is to create an application in the environment R that can automatically choose a model of time array generating process. The procedure is verified by a simulation study. In this work an effect of values of generating ARMA (1,1) model processes parameters is examined, for his choice and power of KPSS test, augmented Dickey-Fuller and Phillips-Peron test of unit roots.
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Mezinárodní statistické standardy pro sektor vládních institucí
Valentová Půlpánová, Lenka ; Hronová, Stanislava (advisor) ; Hindls, Richard (referee) ; Vebrová, Ludmila (referee)
The analysis of the government sector gained prominence after the World War II as the Keynesian theory attributed the government sector key importance in battling economic cycle and the post-war reconstruction and development involved state interventions on a large scale. In 1990s a strength-ened interest in the government sector was triggered by the need to coordinate fiscal policies and closely monitor fiscal health in the countries forming the Economic and Monetary Union. Finally, in the context of the recent global economic crisis, the government sector returned to the centre of the economic policy debate as fiscal policy was used as a main tool to fight the economic recession and subsequently sustainability of government finances became a pressing issue for many countries around the Globe. Increasing importance of the fiscal analysis and fiscal policymaking always generated and continues to generate demand for appropriate statistical data. The international statistical standards played a key role in meeting these requirements. This dissertation offers a comprehensive historical overview, a comparative analysis and evaluation of main internationally recognised statistical standards dealing with the government sector produced by the United Nations, the OECD, the European Communities (Eurostat), the IMF and the European Central Bank. It covers a period since the first international guidelines in late 1940s up to present. It analyses evolution of the statistical treatment of the government sector including its historical roots and gradual revisions and extensions to reflect changing needs and shifts in economic environment. The study compares individual standards with each other and across time and points out differences in basic definitions, concepts and classifications, the institutional coverage of the government sector, structure of government accounts and balancing items, integration of flow accounts with balance sheets and consolidation of transactions or stocks. The dissertation shows that the international statistical standards were successful in offering common statistical guidance, recommendations and best practices. The international organizations have proven to be well suited to deliver widely acknowledged standards. Their cooperation with national statistical agencies and engagement of the most competent experts in the field contributed to building credibility of these statistical systems, if properly applied. The comparative analysis also demonstrates a clear long-term effort of the international statistical community to enhance international harmonization. The application of the international statistical standards also improved quality and availability of government statistics as individual countries are in principle bound -- through their memberships in the international organizations -- to compile agreed data on the basis of a common methodology. This was in particular the case for EU countries for which provision of statistical data according to a given standard is legally binding, as the data are relevant for budgetary and surveillance procedures. As a special case, the history since early 1990s and current situation of statistics on the government sector in the Czech Republic is presented.
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