• Communications for Statistical Applications and Methods
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• v.24 no.5
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• pp.421-441
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• 2017

In this survey, estimation methods for structural vector autoregressive models are presented in a systematic way. Both frequentist and Bayesian methods are considered. Depending on the model setup and type of restrictions, least squares estimation, instrumental variables estimation, method-of-moments estimation and generalized method-of-moments are considered. The methods are presented in a unified framework that enables a practitioner to find the most suitable estimation method for a given model setup and set of restrictions. It is emphasized that specifying the identifying restrictions such that they are linear restrictions on the structural parameters is helpful. Examples are provided to illustrate alternative model setups, types of restrictions and the most suitable corresponding estimation methods.

• Communications for Statistical Applications and Methods
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• v.18 no.1
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• pp.13-21
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• 2011

This paper studies the analysis of multivariate nonstationary time series with seasonality. Three types of multivariate time series models are considered: seasonal cointegration model, nonseasonal cointegration model with seasonal dummies, and vector autoregressive model in seasonal differences that are compared for forecasting performances using Korean macro-economic time series data. The cointegration models produce smaller forecast errors in short horizons; however, when longer forecasting periods are considered the vector autoregressive model appears preferable.

• Journal of the Korean Statistical Society
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• v.34 no.4
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• pp.345-366
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• 2005

This paper considers the cointegrating vector estimator in the error correction model with stationary covariates, which combines the stationary vector autoregressive model and the nonstationary error correction model. The cointegrating vector estimator is shown to follow the locally asymptotically mixed normal distribution. The variance of the estimator depends on the co­variate effect of stationary regressors, and the asymptotic efficiency improves as the magnitude of the covariate effect increases. An economic application of the money demand equation is provided.

• International Commerce and Information Review
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• v.16 no.3
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• pp.73-96
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• 2014

The purpose of this research is to evaluate a short-term export demand forecasting model reflecting individual passenger vehicle brands and market characteristics by using Vector Autoregressive (VAR) models that are based on multivariate time-series model. The short-term export demand forecasting model was created by discerning theoretical potential factors that affect the short-term export demand of individual passenger vehicle brands. Quarterly short-term export demand forecasting model for two Korean small vehicle brands (Accent and Avante) were created by using VAR model. Predictive value at t+1 quarter calculated with the forecasting models for each passenger vehicle brand and the actual amount of sales were compared and evaluated by altering subject period by one quarter. As a result, RMSE % of Accent and Avante was 4.3% and 20.0% respectively. They amount to 3.9 days for Accent and 18.4 days for Avante when calculated per daily sales amount. This shows that the short-term export demand forecasting model of this research is highly usable in terms of prediction and consistency.

• The Korean Journal of Applied Statistics
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• v.29 no.1
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• pp.61-73
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• 2016

We consider the wild bootstrap Ljung-Box (LB) test for autocorrelation in residuals of fitted multivariate time series models. The asymptotic chi-square distribution under the IID assumption is traditionally used for the LB test; however, size distortion tends to occur in the usage of the LB test, due to the conditional heteroskedasticity of financial time series. In order to overcome such defects, we propose the wild bootstrap LB test for autocorrelation in residuals of fitted vector autoregressive and error correction models. The simulation study and real data analysis are conducted for finite sample performance.

• Communications for Statistical Applications and Methods
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• v.17 no.5
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• pp.639-645
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• 2010

We consider a subdiagonal bilinear model and give sufficient conditions for the associated Markov chain defined by Pham (1985) to be uniformly ergodic and then obtain the $\beta$-mixing property for the given process. To derive the desired properties, we employ the results of generalized random coefficient autoregressive models generated by a matrix-valued polynomial function and vector-valued polynomial function.

• Journal of the Korean Statistical Society
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• v.30 no.1
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• pp.31-39
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• 2001

For estimating parameters of possibly nonlinear and/or non-stationary seasonal autoregressive(AR) processes, we introduce a new instrumental variable method which use the direction vector of the regressors in the same period as an instrument. On the basis of the new estimator, we propose new seasonal random walk tests whose limiting null distributions are standard normal regardless of the period of seasonality and types of mean adjustments. Monte-Carlo simulation shows that he powers of he proposed tests are better than those of the tests based on ordinary least squares estimator(OLSE).

• Smart Structures and Systems
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• v.17 no.6
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• pp.1017-1030
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• 2016

This study focuses on the system identification of reinforced concrete bridges using vector autoregressive model (VAR). First, the time series output response from a bridge establishes the autoregressive (AR) models. AR models are one of the most accurate methods for stationary time series. Burg's algorithm estimates the autoregressive coefficients (ARCs) at p-lag by reducing the sum of the forward and the backward errors. The computed ARCs are assembled in the state system matrix and the eigen-system realization algorithm (ERA) computes: the eigenvector matrix that contains the vectors of the mode shapes, and the eigenvalue matrix that contains the associated natural frequencies. By taking advantage of the characteristic of the AR model with ERA (ARMERA), civil engineering can address problems related to damage detection. Operational modal analysis using ARMERA is applied to three experiments. One experiment is coupled with an artificial neural network algorithm and it can detect damage locations and extension. The neural network uses a specific number of ARCs as input and multiple submatrix scaling factors of the structural stiffness matrix as output to represent the damage.

• Smart Structures and Systems
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• v.10 no.4_5
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• pp.393-410
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• 2012

The 610 m high Canton Tower (formerly named Guangzhou New Television Tower) is currently considered as a benchmark problem for structural health monitoring (SHM) of high-rise slender structures. In the benchmark study task I, a set of 24-hour ambient vibration measurement data has been available for the output-only system identification study. In this paper, the vector autoregressive models (ARV) method is adopted in the operational modal analysis (OMA) for this TV tower. The identified natural frequencies, damping ratios and mode shapes are presented and compared with the available results from some other research groups which used different methods, e.g., the data-driven stochastic subspace identification (SSI-DATA) method, the enhanced frequency domain decomposition (EFDD) algorithm, and an improved modal identification method based on NExT-ERA technique. Furthermore, the environmental effects on the estimated modal parameters are also discussed.

• Journal of the Korean Institute of Telematics and Electronics S
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• v.36S no.6
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• pp.87-95
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• 1999

We propose a simulation model of 3-dimensional MPEG data over Asynchronous transfer Mode(ATM) networks. The model is based on a slice level and is named to Projected Vector Autoregressive(PVAR) model. The PVAR model is modeled using the Autoregressive(AR) model in order to meet the autocorrelation condition and fit the histogram, and maps real data by a projection function. For the projection function, we use the Cumulative Distribution Probability Function (CDPF), and the procedure is performed at each slice level. Our proposed model shows good performance in meeting the autocorrelation condition and fitting the histogram, and is found important in analyzing the performance of networks. In addiotion, we apply a smoothing method by which a periodic mean value. In general. the Quality of Service(QoS) depends on the Cell Loss Rate(CLR), which is related to the cell loss and a maximum delay in a buffer. Hence the proposed smoothing method can be used to improve the QoS.