Journal of the Korean Data and Information Science Society
- Volume 15 Issue 2
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- Pages.355-365
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- 2004
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- 1598-9402(pISSN)
A Study on Development of Economic Instability Index
- Do, Jong-Doo (Department of Statistics, Keimyung University) ;
-
Song, Gyu-Moon
(Department of Statistics, Keimyung University)
;
- Kim, Tae-Yoon (Department of Statistics, Keimyung University)
- Published : 2004.05.31
Abstract
Kim et al.. (2003) developed an Economic Instability Index (EII) by using mean squared error (MSE) from the neural network (NN) trained on the 1995 KOSPI. In this paper we study validity of the NN. For this we compare the NN with the well known Box-Jenkins linear auto-regressive processes. Our conclusive understanding of the problem is that the NN provides quite effective EII because it tends to overfit.