응용통계연구 (The Korean Journal of Applied Statistics)

  • 제25권6호
  • /
  • Pages.925-932
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  • 2012
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  • 1225-066X(pISSN)
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  • 2383-5818(eISSN)
한국통계학회 (The Korean Statistical Society)
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Cointegration Analysis with Mixed-Frequency Data of Quarterly GDP and Monthly Coincident Indicators

  • 투고 : 2012.11.12
  • 심사 : 2012.11.27
  • 발행 : 2012.12.31
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초록

The article introduces a method to estimate a cointegrated vector autoregressive model, using mixed-frequency data, in terms of a state-space representation of the vector error correction(VECM) of the model. The method directly estimates the parameters of the model, in a state-space form of its VECM representation, using the available data in its mixed-frequency form. Then it allows one to compute in-sample smoothed estimates and out-of-sample forecasts at their high-frequency intervals using the estimated model. The method is applied to a mixed-frequency data set that consists of the quarterly real gross domestic product and three monthly coincident indicators. The result shows that the method produces accurate smoothed and forecasted estimates in comparison to a method based on single-frequency data.

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참고문헌

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