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Modelling of the Dependence Between the Space-time Processes

Authors
Disciplines
  • Economics

Abstract

Microsoft Word - 11_Szulc.docx © Co py rig ht b y T he N ico lau s C op er nic us U niv er sit y S cie nt ifi c P ub lis hin g H ou se DYNAMIC ECONOMETRIC MODELS Vol. 8 – Nicolaus Copernicus University – Toruń - 2008 Elżbieta Szulc Nicolaus Copernicus University in Toruń Modeling of the Dependence Between the Space-Time Processes 1. Introduction The main thesis of the paper is a statement, that the basis of an appropriate modeling of the dependence between the space-time processes is to consider their internal structures. The space-time processes are characterized by the sets of double indexed variables tiX ,u , the so-called random fields. The models of such random fields, discussed in sections 2 and 3 of the paper, have got an essential significance for the specification of the dependence between the space-time processes. The models, discussed in section 4, take into account the principle of the time, space and space-time „dynamics” – which manifests itself by the specifi- cation of the appropriate time lags, space shifts, and also simultaneous space- time shifts in the modeling of the dependence – and the principle of congruency as well, which is an extension of the principle of the congruency, used in econometrics for the linear dynamic modeling of the dependence of the stochas- tic processes. The advantages for the modeling of the dependence of economic space-time processes resulting from such an approach are pointed out. The theoretical con- siderations are illustrated – in section 5 – by an empirical example, which refers to the dependence between unemployment rate and average monthly gross wages and salaries in enterprise sector in Poland. In section 6 the conclusions are formulated and the directions for further investigations are announced. © Co py rig ht b y T he N ico lau s C op er nic us U niv er sit y S cie nt ifi c P ub lis hin g H ou se Elżbieta Szulc 86 2. Modeli

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