TESTING FOR TRADING-DAY EFFECTS IN PRODUCTION IN INDUSTRY: A BAYESIAN APPROACH

• Authors: Lenart Łukasz
• Languages of publication: EN

Abstracts

EN

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.

Keywords

EN

trading-day effect; production in industry; almost periodic function; AR model

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2017
• Volume: 18
• Issue: 1
• Pages: 88-98

Contributors

author

Lenart Łukasz

• Faculty of Finance and Law, Cracow University of Economics, Poland

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