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http://dx.doi.org/10.5351/KJAS.2005.18.1.147

A Study for an Efficient Utilization of the Linear Model  

Kim Tae-Ho (Department of Statistics, Institute for Basic Sciences, Chungbuk National University)
Cho Eun Jung (Department of Statistics, Chungbuk National University)
Kim Mi Yun (Dept. of Business Adminstration, Seoul National University)
Publication Information
The Korean Journal of Applied Statistics / v.18, no.1, 2005 , pp. 147-158 More about this Journal
Abstract
Most of the statistical models that real data can be applicable are static in nature, and thus it is not possible to analyze the effect of variations in the real world over time. Usual specification of the models does not produce the length and the time path of the effect even if the effect of an exogenous variation continues for periods of time. In this study, deriving the dynamic inherence from the static structure of the linear model for better utilization, we attempt to apply actual data to compare and analyze the long-run effect of variations in the market variables between the related markets by formulating a simultaneous equation system. Accordingly, it is proved to be possible to obtain efficient analytical results and to derive various useful implications.
Keywords
Simultaneous equation; Seemingly unrelated system; Identification; Long-run equilibrium;
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