Browse > Article
http://dx.doi.org/10.5351/CKSS.2010.17.2.241

Transmission Effect of Price Variations  

Kim, Tae-Ho (Department of Information Statistics, Chungbuk University)
Ann, Ji-Hee (Department of Information Statistics, Chungbuk University)
Publication Information
Communications for Statistical Applications and Methods / v.17, no.2, 2010 , pp. 241-253 More about this Journal
Abstract
As standard unit root tests are empirically proved to fail to reject the null hypothesis of a unit root for many economic and business time series, it is doubtful that most of those series are informative about the existence of a unit root or that those tests are powerful against relevant alternative hypotheses. This study attempts to perform tests of the null hypothesis of stationarity as well as tests of the null hypothesis of a unit root using the time series data of housing prices in the major metropolitan areas. The results of the additional analyses such as lead-lag, cross-correlation and impulse response for testing the statistical interrelationships between the prices are generally found to be consistent.
Keywords
Trend stationarity; cross correlation; impulse response;
Citations & Related Records
Times Cited By KSCI : 1  (Citation Analysis)
연도 인용수 순위
1 이기재, 박진우, 박홍래 (1991). 전국주택가격 동향조사를 위한 표본설계연구, <응용통계연구>, 4, 137-148.
2 조하현 (1991). 우리나라 경기변동현상의 특성과 연구과제: Hodrick-Prescott 필터에 의한 분석, <경제학연구>, 39, 285-313.
3 Nelson, C. R. and Plosser, C. I. (1982). Trends and random walks in macroeconomic time series: Some evidence and implications, Journal of Monetary Economics, 10, 139-162.   DOI   ScienceOn
4 Nybolom, J. and Makelainen, T. (1983). comparisons of tests for the presence of random walk coefficients in a simple linear model, Journal of the American Statistical Association, 78, 856-864.   DOI   ScienceOn
5 Philips, P. C. B. and Perron, P. (1988). Testing for a unit root in time series regression, Biometrika, 75, 335-346.   DOI   ScienceOn
6 Said, S. E. and Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unkown order, Biometrika, 71, 599-608.   DOI   ScienceOn
7 지호준 (1993). 채권수익률은 경기변동에 선행하는가, <증권학회지>, 15, 507-528.
8 Nabeya, S. and Tanaka, K. (1988). Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative, Annals of Statistics, 16, 218-235.   DOI
9 Neftcai, S. N. (1982). Optimal prediction of cyclical downturns, Journal of Economic Dynamics and Control, 4, 225-241.   DOI   ScienceOn
10 Nyblom, J. (1986). Testing for deterministic linear trend in time series, Journal of the American Statistical Association, 81, 545-549.   DOI   ScienceOn
11 Dejong, D. N. and Whiteman, C. H. (1991). Reconsidering trens and random walks in macroeconomic time series, Journal of Monetary Economics, 28, 221-254.
12 Diebold, F. X. and Rudebusch, G. D. (1991). On the power of Dickey-Fuller tests against fractional alternatives, Economics Letters, 35, 155-160.   DOI   ScienceOn
13 Rogers, A. J. (1986). Modified Lagrange multiplier tests for problems with one-sided alternatives, Journal of Econometrics, 31, 341-362.   DOI   ScienceOn
14 Haugh, L. D. and Box, G. E. P. (1977). Identification of dynamic regression models conneting two time series, Journal of the American Statistical Association, 72, 121-130.   DOI   ScienceOn
15 한국통계학회 (2003). 전국주택가격동향조사 표본설계 학술용역 최종보고서.
16 Phillips, P. C. B. (1987). Time series regression with unit roots, Econometrica, 55, 277-301.   DOI   ScienceOn
17 신서우, 이훈현 (2003). FIGARCH-M 모형을 이용한 인플레이션과 인플레이션 불확실성간의 관계분석, <금융학회지>, 8, 73-94.
18 Phillips, P. C. B. (1991). To criticize the critics: An objective Bayesian analysis of stochastic trends, Journal of Applied Econometrics, 6, 333-364.   DOI   ScienceOn
19 Kwiatkowski, D., Phillips, P. C. B., Schmidt, P. and Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root, Journal of Econometrics, 54, 158-178.
20 서울대학교 통계연구소 (1990). 전국도시 주택가격통향조사 연구.용역 최종보고서
21 김현의 , 정익준 (1997). 통화와 인플레이션의 관계분석, <경제분석>, 3, 62-86.
22 박진우 (2009). 통계기반 정책사례 연구 ; 주택가격지수 통계의 구축, 개선, 활용을 중심으로, <응용통계연구>, 22, 635-651.
23 국회예산정책처 (2009). 경기침체기의 부동산 대책 및 과제, <국제 경제위기 대응팀 발간시리즈> 23.