Browse > Article

A Study on Demand Forecasting Model of Domestic Rare Metal Using VECM model  

Kim, Hong-Min (Department of Industrial Information System Engineering, Soongsil University)
Chung, Byung-Hee (Department of Industrial Information System Engineering, Soongsil University)
Publication Information
Journal of Korean Society for Quality Management / v.36, no.4, 2008 , pp. 93-101 More about this Journal
Abstract
The rare metals, used for semiconductors, PDP-LCS and other specialized metal areas necessarily, has been playing a key role for the Korean economic development. Rare metals are influenced by exogenous variables, such as production quantity, price and supplied areas. Nowadays the supply base of rare metals is threatened by the sudden increase in price. For the stable supply of rare metals, a rational demand outlook is needed. In this study, focusing on the domestic demand for chromium, the uncertainty and probability materializing from demand and price is analyzed, further, a demand forecast model, which takes into account various exogenous variables, is suggested, differing from the previously static model. Also, through the OOS(out-of-sampling) method, comparing to the preexistence ARIMA model, ARMAX model, multiple regression analysis model and ECM(Error Correction Mode) model, we will verify the superiority of suggested model in this study.
Keywords
Rare Metal; Unit Root Test; ADF Test; Cointegration Test; Johansen Test; VECM;
Citations & Related Records
연도 인용수 순위
  • Reference
1 민철구(1981), 에너지 원별 시장점유율 분석에 의한 민수부문 석탄의 수요분석과 예측
2 이원우(1980), 국내 철광석의 장기수요예측에 관한 기초연구,서울대학교 자원공학과 공학석사학위 논문
3 한국동력자원연구소(1999), 납석의 유통구조 분석
4 Engle, R. F., C. W. J. Granger(1987), Cointegration and Error Correction: Representation, Estimation and Testing, Econometrica, 55, 251-276   DOI   ScienceOn
5 Johansen, S.(1991), Estimating and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, Econometrica, 59, 1551-1589   DOI   ScienceOn
6 곽승준, 이충기(2002), 서울시 생활용수 수요 추정-오차수정모형을 적용하여, 자원.환경경제연구, 11(1), 81-97
7 Nelson, C. R. and C. Plosser(1982), Trends and Random Walks in Macroeconomic Time Series, Journal of Monetary Economics, 10, 139-162   DOI   ScienceOn
8 Box, G.E.P., Jenkins, G.M.(1970), Time Series Analysis, Forecasting and Control. Holden Day, San Francisco
9 한국동력자원연구소(1985), 주요자원 수급동향 및 대책연구
10 Watkins, C. and McAleer, M.(2006), Pricing of non-ferrous metals futures on the London metal Exchange. Applied Financial Economics, 16, 853-880   DOI   ScienceOn