• Smart Structures and Systems
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• 제31권2호
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• pp.183-197
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• 2023

For long-span bridges with a structural health monitoring (SHM) system, environmental temperature-driven responses are proved to be a main component in measurements. However, anomalous structural behavior may be hidden incomplicated recorded data. In order to receive reliable assessment of structural performance, it is important to study therelationship between temperature and monitoring data. This paper presents an application of the cointegration based methodology to detect anomalies that may be masked by temperature effects and then forecast the temperature-induced deflection (TID) of long-span suspension bridges. Firstly, temperature effects on girder deflection are analyzed with fieldmeasured data of a suspension bridge. Subsequently, the cointegration testing procedure is conducted. A threshold-based anomaly detection framework that eliminates the influence of environmental temperature is also proposed. The cointegrated residual series is extracted as the index to monitor anomaly events in bridges. Then, wavelet separation method is used to obtain TIDs from recorded data. Combining cointegration theory with autoregressive moving average (ARMA) model, TIDs for longspan bridges are modeled and forecasted. Finally, in-situ measurements of Xihoumen Bridge are adopted as an example to demonstrate the effectiveness of the cointegration based approach. In conclusion, the proposed method is practical for actual structures which ensures the efficient management and maintenance based on monitoring data.

• 수산경영론집
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• 제29권2호
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• pp.97-110
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• 1998

This paper tries to estimate Korea's import demand function for fisheries using cointegration analysis. The estimation function consists of one dependent variable-import quantity of fisheries(FTIW) and two independent variables-relative price(RP) between importable and domestic products and real income(GDP). As it has been empirically found out that almost all of time series of macro-variables such as GDP, price index are nonstationary, existing studies which ignore this fact need to be reexamined. Conventional econometric method can not analyze nonstationary time series in level. To perform the analysis, time series should be differenciated until stationarity is guaranteed. Unfortunately, the difference method removes the long run element of data, and so leads to difficulties of interpretation. But according to new developed econometric theory, cointegration approach could solve these problems. Therefore this paper proceeds the estimation on the basis of cointegration analysis, because the quartly variables from 1988 to 1997 used in the model is found out to be nonstationary. The estimation results show that all of the variables are statistically significant. Therefore Korea's import demand for fisheries has been strongly affected by the variation of real income and the relative price.

• 국제지역연구
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• 제21권2호
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• pp.3-20
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• 2017

본 연구는 원/달러 환율, 엔/달러 환율, 위안/달러 환율 사이의 관계를 분석하였다. 전통적인 공적분 방법은 환율 변수 사이에 공적분 관계를 명확하게 판별하기 어려운 것으로 알려졌다. 이를 고려하여 분수공적분 방법과 진동수영역의 인과성 분석이 이용되었다. 분석 결과 환율변수 사이에 분수공적분 관계가 존재하는 것을 확인할 수 있었다. 환율 사이에 장기적으로 동조화가 이루어지지만, 충격으로 발생한 이탈은 상당 기간 지속하는 장기기억을 가지는 것을 의미한다. 시간영역의 인과성 분석과 진동수영역의 인과성 분석결과는 다소 차이가 있지만, 원/달러 환율을 예측하는 데 엔/달러 환율이 유용한 것으로 나타났다. 분수공적분 접근방법과 진동수영역의 인과성 분석을 적절하게 활용한다면 기존 방법으로부터 설명되지 못하는 유용한 정보를 획득할 수 있을 것이다.

• Smart Structures and Systems
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• 제12권3_4호
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• pp.309-325
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• 2013

Environmental and operational variables are inevitable concerns by researchers and engineers when implementing the damage detection algorithm in practical projects, because the change of structural behavior could be masked by the conditions in a large extent. Thus, reliable damage detection methods should have a virtue of immunity from environmental and operational variables. In this paper, the pair cointegration method was presented as a novel way to remove the effect of environmental variables. At the beginning, the concept and procedure of this approach were introduced, and then the theoretical formulation and numerical simulations were put forward to illustrate the feasibility. The jump exceeding the control limit in the residual indicates the occurrence of damage, while the direction and magnitude imply the most potential damage location. In addition, the simulation results show that the proposed method has strong ability to resist the noise.

• Journal of the Korean Statistical Society
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• 제36권4호
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• pp.501-522
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• 2007

We propose an estimation procedure that can be used for detecting structural changes in the seasonal cointegrated vector autoregressive model. The asymptotic properties of the estimates and the test statistics for the parameter change are provided. A simulation example is presented to illustrate this method and its concept.

• 국제지역연구
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• 제15권1호
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• pp.219-240
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• 2011

본 연구는 주가 및 부동산가격 변화에 의한 화폐수요함수의 자산효과를 분석하였다. 부동산가격 자료의 획득이 가능한 10개국, 25개 통화단위를 대상으로 분석하였으며, Johansen 공적분 검정에 추가하여 Pesaran, Shin and Smith의 한계검정을 적용하였다. 또한, 효율적인 공적분벡터의 추정을 위하여 Stock and Watson의 DOLS를 적용하였다. 분석결과, 화폐수요함수에 주가와 부동산가격을 포함시킬 경우 장기균형관계의 성립 가능성이 월등히 증가하였다. 특히 ARDL-한계검정에 의하면 12개 통화단위는 자산 가격을 포함하는 경우에만 공적분관계가 존재하는 것으로 나타났다. 이러한 결과들은 자산가격의 변화가 장기화폐수요에 매우 유의한 영향을 준다는 의미이다. DOLS에 의한 공적분 벡터의 추정결과에서도 주가와 부동산가격이 매우 유의한 영향을 주는 것으로 나타났다. 주가는 12개 통화단위에서 통계적으로 유의한 영향을 미치는 반면 부동산가격은 19개 통화단위에서 통계적으로 유의하였다. 특히 부동산가격은 싱가포르 M1을 제외하고 나머지 모든 국가의 통화단위에서 통계적으로 유의하게 나타나 장기 화폐수요함수 추정에서 부동산시장의 중요성이 부각된다. 한편 주가와 부동산가격의 계수부호나 크기는 국가별로, 통화단위별로 상이하게 나타났다.

• Communications for Statistical Applications and Methods
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• 제22권6호
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• pp.615-624
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• 2015

We consider the estimation of seasonal cointegration in the presence of conditional heteroskedasticity (CH) using a feasible generalized least squares method. We capture cointegrating relationships and time-varying volatility for long-run and short-run dynamics in the same model. This procedure can be easily implemented using common methods such as ordinary least squares and generalized least squares. The maximum likelihood (ML) estimation method is computationally difficult and may not be feasible for larger models. The simulation results indicate that the proposed method is superior to the ML method when CH exists. In order to illustrate the proposed method, an empirical example is presented to model a seasonally cointegrated times series under CH.

• 수산경영론집
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• 제38권2호
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• pp.63-78
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• 2007

The objective of this study is to examine the speculative efficiency of shrimp futures market. Testing for the speculative efficiency hypothesis is carried out using Johansen's the maximum-likelihood cointegration method and Fama(1984) regressison model. Analysis data are obtained Kansai Commodities Exchange in Osaka and are daily data of frozen shrimp futures and cash prices for all trading days in the time period from September 6, 2002, frozen shrimp futures is introduced, to May 10, 2007. The empirical results are summarized as follows:First, there exists the cointegrating relationship between realized spot India 16/20, Indonesia 16/20, vietnam 16/20 prices and futures prices of the 14 day to maturity. Second, shrimp futures contract prices do not behave as unbiased predictor s of future spot shrimp prices. This indicates that the shrimp futures market is inefficient.

• 응용통계연구
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• 제24권2호
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• pp.227-237
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• 2011

This paper considers a generalized method of moments(GMM) estimation for seasonal cointegration as the extension of Kleibergen (1999). We propose two iterative methods for the estimation according to whether parameters in the model are simultaneously estimated or not. It is shown that the GMM estimator coincides in form to a maximum likelihood estimator or a feasible two-step estimator. In addition, we derive its asymptotic distribution that takes the same form as that in Ahn and Reinsel (1994).

• The Journal of Asian Finance, Economics and Business
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• 제3권3호
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• pp.27-37
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• 2016

This study uses an endogenous economic growth model to determine the long run relationship between trade openness and economic growth in China by using the data 1975-2009.It contributes to the literature by developing trade openness index. An autoregressive distributed lag approach to cointegration and rolling regression method are employed. This study tests the link between trade openness and economic growth in the case of China by using the framework of endogenous economic growth model. This study also employs the rolling window regression method in order to examine the stability of coefficients throughout the sample span. The autoregressive distributed lag (ARDL) cointegration technique and rolling regression method are used. The empirical findings indicate that trade openness (i.e. Both individual trade indicator and composite trade openness index) are positively related to economic growth in the long run and short run. Our results indicate that trade openness as measured by individual trade indicator and composite trade openness index are positively related to economic growth in the long run and short run. However, results from the rolling window suggest that trade openness is negatively linked to economic growth only for a number of years.