Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression

0561394 - ÚTIA 2023 RIV NL eng J - Článek v odborném periodiku
Tilfani, O. - Krištoufek, Ladislav - Ferreira, P. - El Boukfaoui, M. Y.
Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression.
Physica. A : Statistical Mechanics and its Applications. Roč. 588, č. 1 (2022), č. článku 126530. ISSN 0378-4371. E-ISSN 1873-2119
Grant CEP: GA ČR(CZ) GJ17-12386Y
Institucionální podpora: RVO:67985556
Klíčová slova: Detrended fluctuation analysis * Heterogeneity * Multivariate fractal regression * Scale-dependent effects
Obor OECD: Economic Theory
Impakt faktor: 3.3, rok: 2022
Způsob publikování: Omezený přístup
http://library.utia.cas.cz/separaty/2022/E/kristoufek-0561394.pdf https://www.sciencedirect.com/science/article/pii/S0378437121008037?via%3Dihub

Heterogeneity of effects between economic variables has been a frequently discussed topic for many years now. However, the estimation of such scale-dependent effects has proved challenging. Here, we propose a multivariate multiscale regression approach based on the combination of detrended fluctuation analysis and detrended cross-correlation analysis, but the idea can be easily translated into other time and frequency domain frameworks. As illustrations, we pick two classic economic models – the Taylor’s rule and the money demand function for the USA and Japan – and we uncover evident scale-dependence in the individual effects not visible by the simple regression tools. Importantly, the proposed framework can be used in any discipline where studying the effects at various scales is of interest. Further applications are thus certainly at hand.
Trvalý link: https://hdl.handle.net/11104/0334058