The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Statistical Tests and Applications for the Stability of an Estimated Cointegrating Vector

공적분벡터의 안정성에 대한 실증연구

  • Kim, Tae-Ho (Department of Information Statistics, Chungbuk National University) ;
  • Hwang, Sung-Hye (Department of Information Statistics, Chungbuk National University) ;
  • Kim, Mi-Yun (Department of Business Administration, Seoul National University)
  • 김태호 (충북대학교 정보통계학과) ;
  • 황성혜 (충북대학교 정보통계학과 대학원) ;
  • 김미연 (서울대학교 경영학과 대학원)
  • Published : 2005.11.01
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Abstract

Cointegration test is usually performed under the assumption that the cointegrating vector is constant for the whole sample period. Most previous studies have used conventional cointegration methods in testing for a stable long-run equilibrium relation among related variables. However they have overlooked that the long-run equilibrium may not the unique and the stable relation may not be guaranteed. This study develops the additional statistical tests for the stability of the estimated cointegrating vector. Three tests for the parameter stability of a cointegrated regression model are utilized and applied to identify the types of variations in the long-run relation between the domestic unemployment and the rotated macroeconomic variables of interest. The present paper finds that, there exists a stable but, time-varying long-run relation between those. The observed variation in cointegrating relations is generally characterized by a discrete one-time shift, rather than a gradually evolving random walk process which is attributable to the IMF financial and economic crisis.

공적분검정은 변수들간의 장기적 균형관계에 따른 공적분벡터가 표본기간 동안 일정하다는 가정하에서 실시된다. 따라서 기존의 연구들은 변수들 사이의 공적분관계를 안정적 장기균형관계로 해석해왔으나 장기균형관계가 존재해도 유일하지 않을 수 있으며, 표본기간 중 중요한 사건이 발생하는 경우 이러한 관계에 영향을 미처 안정성이 반드시 성립될 수 없다는 사실은 간과해왔다. 본 연구에서는 추정된 공적분벡터가 안정성을 유지하는가를 확인하기 위해 추가로 통계적 검정을 실시하였다. 공적분회귀모형 모수의 안정성을 검정하는 방식을 세분${\cdot}$체계화하여 공적분백터의 안정성 및 변동형태를 검색하는 실증분석에 적용시켜 보았다.

Keywords

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