• 제목/요약/키워드: Seasonal error correction model

검색결과 16건 처리시간 0.028초

INFERENCE ON THE SEASONALLY COINTEGRATED MODEL WITH STRUCTURAL CHANGES

  • Song, Dae-Gun;Cho, Sin-Sup
    • 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.

시계열모형을 이용한 굴 생산량 예측 가능성에 관한 연구 (A Study on Forecast of Oyster Production using Time Series Models)

  • 남종오;노승국
    • Ocean and Polar Research
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    • 제34권2호
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    • pp.185-195
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    • 2012
  • This paper focused on forecasting a short-term production of oysters, which have been farmed in Korea, with distinct periodicity of production by year, and different production level by month. To forecast a short-term oyster production, this paper uses monthly data (260 observations) from January 1990 to August 2011, and also adopts several econometrics methods, such as Multiple Regression Analysis Model (MRAM), Seasonal Autoregressive Integrated Moving Average (SARIMA) Model, and Vector Error Correction Model (VECM). As a result, first, the amount of short-term oyster production forecasted by the multiple regression analysis model was 1,337 ton with prediction error of 246 ton. Secondly, the amount of oyster production of the SARIMA I and II models was forecasted as 12,423 ton and 12,442 ton with prediction error of 11,404 ton and 11,423 ton, respectively. Thirdly, the amount of oyster production based on the VECM was estimated as 10,425 ton with prediction errors of 9,406 ton. In conclusion, based on Theil inequality coefficient criterion, short-term prediction of oyster by the VECM exhibited a better fit than ones by the SARIMA I and II models and Multiple Regression Analysis Model.

Seasonal Cointegration Rank Tests for Daily Data

  • Song, Dae-Gun;Park, Suk-Kyung;Cho, Sin-Sup
    • Journal of the Korean Data and Information Science Society
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    • 제16권3호
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    • pp.695-703
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    • 2005
  • This paper extends the maximum likelihood seasonal cointegration procedure developed by Johansen and Schaumburg (1999) for daily time series. The finite sample distribution of the associated rank test for dally data is also presented.

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Seasonal cointegration for daily data

  • Song, Dae-Gun;Cho, Sin-Sup;Park, Suk-Kyung
    • 한국통계학회:학술대회논문집
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    • 한국통계학회 2005년도 춘계 학술발표회 논문집
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    • pp.13-15
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    • 2005
  • In this paper, we propose an extension of the maximum likelihood seasonal cointegration procedure developed by Johansen and Schaumburg (1999) for daily time series. We presented the finite sample distribution of the associated rank test statistics for daily data.

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Semiparametric Seasonal Cointegrating Rank Selection

  • Seong, Byeong-Chan;Ahn, Sung-K.;Ch, Sin-Sup
    • 응용통계연구
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    • 제24권5호
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    • pp.791-797
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    • 2011
  • This paper considers the issue of seasonal cointegrating rank selection by information criteria as the extension of Cheng and Phillips (2009). The method does not require the specification of lag length in vector autoregression, is convenient in empirical work, and is in a semiparametric context because it allows for a general short memory error component in the model with only lags related to error correction terms. Some limit properties of usual information criteria are given for the rank selection and small Monte Carlo simulations are conducted to evaluate the performances of the criteria.

Estimation of Seasonal Cointegration under Conditional Heteroskedasticity

  • Seong, Byeongchan
    • 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.

Effects of the Misspecification of Cointegrating Ranks in Seasonal Models

  • Seong, Byeong-Chan;Cho, Sin-Sup;Ahn, Sung-K.;Hwang, S.Y.
    • 응용통계연구
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    • 제21권5호
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    • pp.783-789
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    • 2008
  • We investigate the effects of the misspecification of cointegrating(CI) ranks at other frequencies on the inference of seasonal models at the frequency of interest; our study includes tests for CI ranks and estimation of CI vectors. Earlier studies focused mostly on a single frequency corresponding to one seasonal root at a time, ignoring possible cointegration at the remaining frequencies. We investigate the effects of the mis-specification, especially in finite samples, by adopting Gaussian reduced rank(GRR) estimation by Ahn and Reinsel (1994) that considers cointegration at all frequencies of seasonal unit roots simultaneously. It is observed that the identification of the seasonal CI rank at the frequency of interest is sensitive to the mis-prespecification of the CI ranks at other frequencies, mainly when the CI ranks at the remaining frequencies are underspecified.

A Feasible Two-Step Estimator for Seasonal Cointegration

  • Seong, Byeong-Chan
    • Communications for Statistical Applications and Methods
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    • 제15권3호
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    • pp.411-420
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    • 2008
  • This paper considers a feasible two-step estimator for seasonal cointegration as the extension of $Br{\ddot{u}}ggeman$ and $L{\ddot{u}}tkepohl$ (2005). It is shown that the reducedrank maximum likelihood(ML) estimator for seasonal cointegration can still produce occasional outliers as that for non-seasonal cointegration even though the sizes of them are not extreme as those in non-seasonal cointegration. The ML estimator(MLE) is compared with the two-step estimator in a small Monte Carlo simulation study and we find that the two-step estimator can be an attractive alternative to the MLE, especially, in a small sample.

GMM Estimation for Seasonal Cointegration

  • Park, Suk-Kyung;Cho, Sin-Sup;Seon, Byeong-Chan
    • 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).

GloSea5 모형의 한반도 인근 해수면 온도 예측성 평가: 편차 보정에 따른 개선 (Evaluation of Sea Surface Temperature Prediction Skill around the Korean Peninsula in GloSea5 Hindcast: Improvement with Bias Correction)

  • 강동우;조형오;손석우;이조한;현유경;부경온
    • 대기
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    • 제31권2호
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    • pp.215-227
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    • 2021
  • The necessity of the prediction on the Seasonal-to-Subseasonal (S2S) timescale continues to rise. It led a series of studies on the S2S prediction models, including the Global Seasonal Forecasting System Version 5 (GloSea5) of the Korea Meteorological Administration. By extending previous studies, the present study documents sea surface temperature (SST) prediction skill around the Korean peninsula in the GloSea5 hindcast over the period of 1991~2010. The overall SST prediction skill is about a week except for the regions where SST is not well captured at the initialized date. This limited prediction skill is partly due to the model mean biases which vary substantially from season to season. When such biases are systematically removed on daily and seasonal time scales the SST prediction skill is improved to 15 days. This improvement is mostly due to the reduced error associated with internal SST variability during model integrations. This result suggests that SST around the Korean peninsula can be reliably predicted with appropriate post-processing.