| Title |
Hierarchinio dinaminio faktorinio modelio taikymas globalizacijos efektui vertinti / |
| Translation of Title |
Measuring the globalisation effect: the application of a dynamic hierarchical factor model. |
| Authors |
Reklaitė, Agnė |
| Full Text |
|
| Pages |
34 |
| Keywords [eng] |
dynamic hierarchical factor model ; globalisation ; coincident and leading indicators |
| Abstract [eng] |
This doctoral dissertation addresses the problem of how to measure a latent process such as globalisation which manifests itself in a large number of statistical indicators. A new globalisation measure is offered. It is based on the evaluation of proportion of future economic growth explained by foreign indicators relative to domestic ones. The construction of this measure is based on the assumption that there is a strong relationship between economic openness or globalisation and economic growth. A method to evaluate the offered globalisation measure is developed so that the design of the model is suited for the structure of the data. Targeted indicators are structured into domestic and foreign blocks and included into a dynamic hierarchical factor model. The model is evaluated employing Markov chain Monte Carlo with Gibbs sampling. The resulting factors are included into economic growth forecast equation and time-varying parameters loading of domestic and foreign factors are evaluated by applying Kalman filter on a dynamic linear model. The application for Lithuanian economy revealed a positive trend in foreign impact on the economy and it depicts the globalisation effect. |
| Dissertation Institution |
Vilniaus universitetas. |
| Type |
Summaries of doctoral thesis |
| Language |
Lithuanian |
| Publication date |
2016 |
