• Journal of the Korean Statistical Society
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• 제27권1호
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• pp.57-66
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• 1998

In the analysis of time series it is an important issue to determine whether a time series under study is stationary. For the test of the stationary of the time series the Dickey-Fuller (DF) type tests have been mainly used. In this paper, we consider the regular unit root tests and seasonal unit root tests based on the generalized Durbin-Watson (DW) statistics when the errors are independent. The limiting distributions of the proposed DW-type test statistics are the functionals of standard Brownian motions. We also obtain the finite distributions and powers of the DW-type test statistics and compare the performances with the DF-type tests. It is observed that the DW-type test statistics have good behaviors against the DF-type test statistics especially in the nonzero (seasonal) mean model.

• Journal of the Korean Statistical Society
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• 제26권3호
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• pp.365-382
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• 1997

In this paper we study the behaviors of the generalized Durbin-Watson (DW) statistics when the nonstationary seasonal time series regression model is misspecified. It is observed that when the series is seasonally integrated the generalized DW statistic for the seasonal period order autocorrelation converges in probability to zero while teh generalized DW statistic for the first order autocorrelation has nondegenerate asymptotic distribution. When the series is regularly and seasonally integrated the generalized DW for the first order autocorrelation still converges in probability to zero.

• Journal of the Korean Statistical Society
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• 제30권4호
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• pp.597-612
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• 2001

We have developed a \

• Journal of the Korean Data and Information Science Society
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• 제27권2호
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• pp.559-564
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• 2016

The Durbin-Watson (DW) test in regression model and the Ljung-Box (LB) test in ARMA (autoregressive moving average) model are typical examples of correlated error tests. The DW test is used for detecting autocorrelation of errors using the residuals from a regression analysis. The LB test is used for specifying the correct ARMA model using the first some sample autocorrelations based on the residuals of a tted ARMA model. In this article, simulations with four data generating processes have been carried out to evaluate their performances as correlated error tests. Our simulations show that the DW test is severely dependent on the assumed AR(1) model but isn't sensitive enough to reject the misspecified model and that the LB test reports lackluster performance in general.

• 대한안전경영과학회:학술대회논문집
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• 대한안전경영과학회 2012년 춘계학술대회
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• pp.579-583
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• 2012

The Design of Experiment (DOE) is a most practical technique when establishing an optimal condition for production technology in Six Sigma innovation project. This research proposes the assessment of properties of error terms, such as normality, equal variance, unbiasedness and independence. The properties of six nonparametric ranking techniques for checking normality assumption are discussed as well as run test which is used to identify the randomness, and to check unbiased assumption. Furthermore, Durbin-Watson (DW) statistics and ARIMA (p,d,q) process are discussed to identify the serial correlation.

• 응용통계연구
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• 제26권2호
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• pp.237-252
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• 2013

보험료 및 보험료 구성요소에 대한 예측모형은 합리적인 보험료 결정에 필수적이다. 본 연구에서는 가변수 회귀모형, 독립변수 추가모형, 자기회귀 오차모형, 계절형 ARIMA 모형, 개입모형 등 적정한 자동차 대물 손해보험료 추정에 사용되는 다양한 모형을 소개하였다. 또한 실제 자동차 대물 보험료 자료를 이용하여 각 모형을 이용하여 보험료, 심도, 빈도 등을 추정하였으며, 모형의 추정결과는 추정치와 실제 자료값의 차이에 근거한 RMSE(Root Mean Squared Errors) 값을 통해 비교하였다. 실제 자료 분석 결과, 자기회귀 오차모형이 가장 좋은 성능을 보여주는 것을 알 수 있었다.

• 품질경영학회지
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• 제24권4호
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• pp.190-206
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• 1996

In case measurements are made on units of production in time order, it is reasonable to expect that the measurement errors will sometimes be first order autocorrelated, and a technique to test such autocorrelation is required to give good control of the productive process. Tool-wear process provide an example for which regression model can sometimes be useful in modeling and controlling the process. For the control of such process, we present a simple method for testing first order autocorrelation in regression errors. The method is based on Bayesian test method via Bayes factor and derived by observing that in general, a Bayes factor can be written as the product of a quantity called the Savage-Dickey density ratio and a correction factor ; both terms are easily estimated from Gibbs sampling technique. Performance of the method is examined by means of Monte Carlo simulation. It is noted that the test not only achieves satisfactory power but eliminates the inconvenience occurred in using the well-known Durbin-Watson test.

• 한국주거학회논문집
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• 제21권2호
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• pp.59-67
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• 2010

The maintenance cost plays a important role to plan the scale of the apartment housing such as a number of household, building area and building type. Therefore, it is required to forecast the cost considering various maintenance characteristics. The maintenance characteristics are floor area, number of household, heating type, site area and etc.. In addition, the maintenance cost are classified into 5 area. These are a personal expense, facility maintenance cost, energy and water cost, insurance and sanitary cost. These five cost area are related with various characteristics and brought up the estimation model using the stepwise multiple regression analysis. The energy and heating cost share over the 50% in the total cost and the personal expense cost shares about 40%. The personal expense cost per area is 5,272 won/$m^2{\cdot}yr$ irregardless of heating type and the district heating type is a higher cost than other type. In facility maintenance cost, the central heating type is 2,015 won/$m^2{\cdot}yr$ and higher than other type. The estimation models have good statistics in each model. Most of the model have a determination coefficient over 0.7 and Durbin Watson value between 1.5 and 2.5.

• 유통과학연구
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• 제12권5호
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• pp.27-32
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• 2014

Purpose - Since Iran's economy is only now developing, and its stock market is only now emerging, we should deal with the relationship between ownership structure and conservative accounting of companies to see whether such a relationship exists in Iran's market. This study aims to investigate the relationship between ownership structure and accounting conservatism of listed companies on the Tehran Stock Exchange. Research design, data, and methodology - All listed companies on the Tehran Stock Exchange, for which the required information financial statements (balance sheet, profit and loss account) could be acquired for the period 2007-2012, were studied. A total of 123 companies from various industries was selected. Results - In order to test the hypotheses, multi variate regression (inter procedure), with their meaningful t- and f-statistics, and a Durbin-Watson autocorrelation model were used. Conclusions - The research results show that the ownership of major shareholders and ownership concentration have a negative significant relationship with accounting conservatism. Therefore, as a significant negative relationship between concentration of ownership and accounting conservatism at the 95% confidence level was found, the second hypothesis was confirmed.

• 토지주택연구
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• 제12권2호
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• pp.47-59
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• 2021

본 연구에서는 부산시 지역들의 수도권으로 인구유출 현황을 파악하고, 인구·사회, 고용, 주택, 문화, 안전, 의료, 복지, 녹지, 교육 및 보육 등 전통적 인구이동 변수와 삶의 질 변수들을 포괄하여 수도권으로의 인구이동에 영향을 미치는 요인과 인과관계를 규명하고자 한다. 연구의 데이터 구축을 위하여 통계청 마이크로데이터통합서비스(MDIS)에서 제공하는 '국내 인구이동 데이터'를 사용하였으며, 시간적 범위에 맞는 인구이동 데이터(2012-2017년) 총 5,700만 건 가운데 부산시 지역별 유출량 중 수도권 이동량을 추출하였다. 각 독립변수들은 연구의 시간적 공간적 범위에 맞춰 공공데이터에서 추출하였다. 구축한 데이터 세트(Data Set)을 기반으로 선형 다중 회귀분석(Multiple Linear Regression Analysis) 모형을 사용하였으며, 수정 결정계수(Adjusted R2), Durbin-Watson분석, 검정통계량(F-statstics)의 p-value값으로 모형의 적합도를 측정하였다. 분석결과, 부산시에서 수도권으로 인구이동에 유의미한 영향을 미치는 변수는 1인가구 증가율, 고령인구 증가율, 고령자수 비율, 합계출산율, 사업체수 증가율과 종사자수 증가율, 주택매매가지수 증가율, 문화시설 증가율, 교원 1인당 학생수 증가율 변수로 나타났다. 1인가구가 증가하는 지역일수록, 지역의 고령자 비율이 낮을수록, 고령자 비율이 감소할수록, 사업체수가 감소할수록, 종사자수가 증가할수록, 주택매매가지수가 증가할수록, 문화시설수가 감소할수록, 학생수가 감소할수록 수도권 인구이동 비율에 정(+)의 영향을 미치는 것으로 나타났다. 분석 결과를 바탕으로 한 정책적 시사점으로 청년 계층을 부산시에 정착시키고 유인할 수 있는 양질의 일자리, 문화, 복지 등의 제반환경을 제공해야 할 것이다. 일자리와 삶의 질을 높이는 것이 부산시 인구를 수도권으로 유출시키는 현상을 완화할 수 있는 핵심 요인이라고 할 수 있다.