• Journal of the Korean Statistical Society
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• v.36 no.4
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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.

• New & Renewable Energy
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• v.16 no.4
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• pp.9-22
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• 2020

This study analyzed the short- and long-term effects of nuclear and renewable energy generation on CO2 emissions in Korea, Japan, and Germany from 1987 to 2016 by using the unit root test, Johansen cointegration test, and ARDL model. The unit root test was performed, and the Johansen cointegration test showed cointegration relationships among variables. In the long run, in Germany, the generation of both nuclear and renewable energy was found to affect CO2 emission reduction, while South Korea's renewable energy generation, including hydropower, increased the emissions. Japan only showed significance in fossil fuels. In the short run, in the three countries, the generation of nuclear and renewable energy, excluding hydropower, affected CO2 emission. However, in Korea and Germany, nuclear and renewable energy generation, respectively, affected CO2 emission reduction. Although the rest are significant, the results showed that they increased CO2 emissions.

• Journal of Fisheries and Marine Sciences Education
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• v.27 no.6
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• pp.1745-1754
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• 2015

This study aimed to analyze the relationship between sea temperatures and anchovy catch of Anchovy drag net fishery using annual time series data from 1970 to 2013. In the analysis, time series data on variables (CPUE, sea surface temperature, and 10m temperature) were estimated to be non-stationary from unit root tests, but one long-term equilibrium relation among variables was found from a cointegration test. From an exclusion test, a 10m temperature would not have relations with CPUE and sea surface temperature. The result of regression analysis on sea surface temperature and anchovy catch indicated that the sea surface temperature would have positive impacts on the anchovy catch. It means that when the sea surface temperature would increase, all other things including the current level of fishing effort being equal, the catch of anchovy was predicted to increase. More specifically, the result showed that when 1% of sea surface temperature increases, CPUE would be increased by 2.81%.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.1
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• pp.23-36
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• 2021

The study explores the nexus between foreign direct investment (FDI), financial innovation, and exchange rate volatility in selected South Asian countries for 1980 to 2017. The study applies the unit root test, Autoregressive Distributed Lagged, nonlinear ARDL, and causality test following Toda-Yamamoto. Unit root tests ascertain that variables are integrated in a mixed order; few variables are stationary at a level and few after the first difference. Empirical model estimation with ARDL, Long-run cointegration revealed with the tests of FPSS, WPSS, and tBDM by rejecting the null hypothesis of "no cointegration." This finding suggests that, in the long-run financial innovation, FDI inflows, and exchange rate volatility move together. Moreover, study findings established adverse effects running from FDI inflows and financial innovation to exchange rate volatility in the long run. These findings suggest that continual FDI inflows and innovativeness in the financial system assist in lessening the volatility in the foreign exchange market. Furthermore, nonlinear ARDL confirms the presence of asymmetric cointegration in the model. The standard Wald test established asymmetric effects running from FDI inflows and financial innovation to exchange rate volatility, both in the long and short run. Directional causality unveils feedback hypothesis holds for explaining causality between FDI, financial innovation, and exchange rate volatility.

• The KIPS Transactions:PartB
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• v.14B no.7
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• pp.531-540
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• 2007

In this research, we proposed a two-phase hybrid stock price forecasting model with cointegration tests and artificial neural networks. Using not only the related stocks to the target stock but also the past information as input features in neural networks, the new model showed an improved performance in forecasting than that of the usual neural networks. Firstly in order to extract stocks which have long run relationships with the target stock, we made use of Johansen's cointegration test. In stock market, some stocks are apt to vary similarly and these phenomenon can be very informative to forecast the target stock. Johansen's cointegration test provides whether variables are related and whether the relationship is statistically significant. Secondly, we learned the model which includes lagged variables of the target and related stocks in addition to other characteristics of them. Although former research usually did not incorporate those variables, it is well known that most economic time series data are depend on its past value. Also, it is common in econometric literatures to consider lagged values as dependent variables. We implemented a price direction forecasting system for KOSPI index to examine the performance of the proposed model. As the result, our model had 11.29% higher forecasting accuracy on average than the model learned without cointegration test and also showed 10.59% higher on average than the model which randomly selected stocks to make the size of the feature set same as that of the proposed model.

• Journal of the Korean Data and Information Science Society
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• v.15 no.2
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• pp.485-493
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• 2004

This paper considers the test of money and income causality. Jeong (1991, 2003) developed a nonparametric causality test based on the kernel estimation method. We apply the nonparametric test to USA data of money and income. We also compare the test results with ones of the conventional parametric test.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.12
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• pp.31-38
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• 2021

This study contributes to the existing literature and tries to analyze the validity of the Fisher hypothesis in the Philippines. Using monthly data from January 1995 to December 2020, the empirical analysis used the Engle-Granger and Johansen cointegration testing technique. The correlation coefficient suggests a strong positive association. All things being equal, a rise in inflation leads to a rise in the nominal interest rate. The unit-root tests show that inflation and the nominal interest rate are both stationary. Based on both Engle-Granger and cointegrating regression Durbin-Watson tests, the nominal interest rate and inflation are cointegrated. Likewise, the results from Johansen cointegration indicate that there exists a long-run relationship between the variables. However, we rejected a one-to-one relationship between nominal interest rate and inflation. The error correction term coefficient (ECM) shows that it is statistically significant suggesting that the nominal interest rate adjusts to the inflation rate with a lag. The Pair-wise Granger Causality test reported a bi-directional causal relationship between nominal interest rate and inflation. Inflation targeting has been the monetary policy framework of choice for most central banks. In essence, the conclusions of this study are useful to central banks because they help them better comprehend the long-run equilibrium relationship between the nominal interest rate and inflation.

• International Area Studies Review
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• v.14 no.3
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• pp.363-387
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• 2010

This papers studies the causalities and effects on the relationship between inbound tourism(TOU) and the production amount of service industry in China, using the unit root test, the Granger causality test, the cointegration test, and VECM. we take their natural logarithm and define them as TOU and SGDP: these represent the distributed variable based the lagged values of the number of international tourists by continent and real production amount in service industry of China, respectively. The results of empirical study of this papers are as follows: Firstly, in the unit root test, we found that each time series was unstable one that has unit root. This result made me use 1st differenced data for this empirical study. Secondly, in the Granger casuality test, the study results show that there is unilateral casuality relation between DLSGDP-$DLTOU_i$ except DLSGDP-DLTOUL model for the same time, while no casuality relation between DLTOU-DLSGDP for all models of China. Thirdly, there is cointegration relation between all models for the period of 1980-2008.

• Journal of the Korean Society of Fisheries and Ocean Technology
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• v.50 no.4
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• pp.502-510
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• 2014

This study aimed to analyze the relationship between catch amount and market price of sandfish for improvement of fishing revenues and effective fisheries management. By estimating the sandfish price function by fishery, the study tried to investigate changes of prices by catch amount as well as changes of fishing revenues by catch amount and price. Results showed that time series data on catch and price were estimated to be non-stationary from unit root tests, but long-term equilibrium relations between catch amount and price were found from a cointegration analysis. Results of regression analyses indicated that the catch amount would have negative impacts on prices of sandfish in both coastal gillnet and danish seine fisheries.

• Ocean and Polar Research
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• v.32 no.1
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• pp.23-40
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• 2010

This study investigated the effects of imported fisheries products on WTO/DDA tariff negotiations. To calculate the results, the study estimated the demand functions of imported fisheries products by using unit root and cointegration approaches. These approaches allowed us to solve spurious regression problems with macro-economic variables. In addition, this study surmised the effects of change by individually imported fish products from a tariff negotiation model using price elasticities of estimated import demand function. In a process of the analysis for estimating import effects, this study found out that 39 out of 128 imported fish products had positive (+) price elasticities or did not exhibit cointegrations. To cure this problem, this study suggested that the effects of these 39 imported products be estimated with the average variation rate of import volume, rather than by the Ordinary Least Squares approach. In this study, a case-study of tariff formula with coefficient 8 based on a 'Swiss formula' for priority duty rate of 2001 and 2008 was used by to analyze the effect of change in the 128 imported fish products of both years, respectively.