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Multimedia support of the course BSIS
Pasečný, Jan ; Šebesta, Vladimír (referee) ; Sigmund, Milan (advisor)
This paper takes aim at creating a consistent form of study materials, supplemented with illustrative examples, for Signals and systems subject. The thesis starts with basic characteristics of acoustic, image, biological and communication signals. Characteristics of linear signals and AD&DA conversion has been added to the next part and to complete the submission, discrete signals follow. Diploma thesis as a whole contains basic theoretical description of problematics, which it tries to supplement with interesting examples, connections, graphs and matlab scripts for illustrative presentation of mentioned problematics.
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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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Natural rate of unemployment or hysteresis? The case of the Czech Republic
Bechný, Jakub ; Potužák, Pavel (advisor) ; Kadeřábková, Božena (referee)
The aim of this thesis is to empirically investigate, using stationarity and unit root tests, whether is the labor market of the Czech Republic developing accordingly to the natural rate of unemployment theory, or the hysteresis theory. Taking into consideration a structural break in the second half of the nineties I conclude, that the hysteresis at the national level works only in unemployment. Employment data, on the other hand, do not indicate the hysteresis. Unemployment tests on the regional level then suggest, that transitory shocks have permanent effects only in half of the regions.
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Analysis of selected demographic time series
Strada, Ondřej ; Helman, Karel (advisor) ; Bašta, Milan (referee)
The aim of this finish work is an analysis of selected demographic time series and calculation of their predictions. Concretely, it deals with time series of annual crude birth rate, crude death rate, and the average age of mothers at first birth, all for the time period of 1960-2013. First, demographic terms used further in the work are defined. There is also a theoretical part describing the statistical methods used, specifically the methodology of time series from authors Box-Jenkins. Developement of each time serie is evaluated socio-demographically and the procedure of selecting the most appropriate interpolation model and calculation of predictions derived from it are described. There is also description of a process of selecting a suitable model based on the extrapolation method of predictions with Rolling Origin, construction of predictions derived from it and their comparison with the most suitable interpolation model. At the end there is a comparison of the time series of crude birth rate between the Czech Republic and selected developed country (Sweden), which brings interesting results.
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Vliv společného zemědělského trhu EU na český trh s mlékem a mléčnými produkty
Konvalinová, Vendula
This bachelor thesis deals with the effects of the EU's Common Agricultural Policy on Czech market in milk and milk products. Causal relations between agricultural producer prices of raw cow's milk in the Czech Republic, in Bavaria and in the Slovak Republic are investigated by using a VAR model. The Granger causality is also verified between different kinds of milk and butter prices in the Czech Republic. For the amount of purchased milk into the dairies in the Czech Republic are created forecasts based on a SARIMA model. All the time series are processed for the period from January 2008 to December 2013 and properly characterized.
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Empirical Testing of the New Keynesian Phillips Curve in the Czech Republic
Plašil, Miroslav ; Arlt, Josef (advisor) ; Pánková, Václava (referee) ; Komárek, Luboš (referee)
New keynesian Phillips curve (NKPC) has become a central model to study the relation between inflation and real economic activity, notably in the framework of optimal monetary policy design. However, some recent evidence suggests that empirical data are usually at odds with the underlying theory. The model due to its inherent structure represents a statistical challenge in its own right. Since Galí and Gertler (1999) published their seminal paper introducing estimation via GMM techniques, they have triggered a heated debate on its empirical relevance. Their approach has been heavily criticised by later authors, mainly on the grounds of questionable behaviour of GMM estimator in the NKPC context and/or its small sample properties. The common criticism includes sensitivity to the choice of instrument set, weak identification and small sample bias. In this thesis I propose a new estimation strategy that provides a remedy to above mentioned shortcomings and allows to obtain reliable estimates. The procedure exploits recent advances in GMM theory as well as in other fields of statistics, in particular in the area of time series factor analysis and bootstrap. The proposed estimation strategy consists of several consecutive steps: first, to reduce a small sample bias resulting from excessive use of instruments I summarize all available information by employing factor analysis and include estimated factors into information set. In the second step I use statistical information criteria to select optimal instruments and eventually I obtain confidence intervals on parameters using bootstrap method. In NKPC context all these methods were used for the first time and can also be used independently. Their combination however provides synergistic effect that helps to improve the properties of estimates and to check the efficiency of given steps. Obtained results suggest that NKPC model can explain Czech inflation dynamics fairly well and provide some support for underlying theory. Among other things the results imply that the policy of disinflation may not be as costly with respect to a loss in aggregate product as earlier versions of Phillips curve would indicate. However, finding a good proxy for real economic activity has proved to be a difficult task. In particular we demonstrated that results are conditional on how the measure is calculated, some measures even showed countercyclical behaviour. This issue -- in the thesis discussed only in passing -- is a subject of future research. In addition to the proposed strategy and provided parameter estimates the thesis brings some partial simulation-based findings. Simulations elaborate on earlier literature on naive bootstrap in GMM context and study performance of bootstrap modifications of unit root and KPSS test.
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