• Korean Journal of Agricultural Science
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• v.38 no.2
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• pp.383-391
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• 2011

Traditional international trade theory assumes that import goods and domestically produced goods of the same industry are equal in quality. However the substitutability of the two goods is imperfect. This article estimated the import functions of pulp and paper using econometric and vector autoregressive models, and calculated the elasticities of substitution between imported and domestically produced pulp and paper. The import of pulp is inelastic to import price and domestic price, and elastic to national income in econometric model. And it is inelastic to import price, domestic price and national income in vector autoregressive model. On the other hand, the import of paper is inelastic to domestic price, and elastic to import price and national income in econometric model. And it is inelastic to import price and domestic price, and elastic to national income in vector autoregressive model. The elasticity of substitution between imported and domestically produced pulp was positive, and the elasticity was respectively 0.42 and 0.20 in econometric and vector autoregressive models. This may be because of the high proportion of imports. On the other hand, the elasticity of substitution between imported and domestically produced paper was positive, and the elasticity was respectively 0.75 and 0.81 in econometric and vector autoregressive models. This may be because the quality of imported paper is different from that of domestically produced paper.

• Communications for Statistical Applications and Methods
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• v.29 no.1
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• pp.41-51
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• 2022

We forecast the US oil consumption level taking advantage of google trends. The google trends are the search volumes of the specific search terms that people search on google. We focus on whether proper selection of google trend terms leads to an improvement in forecast performance for oil consumption. As the forecast models, we consider the least absolute shrinkage and selection operator (LASSO) regression and the structured regularization method for large vector autoregressive (VAR-L) model of Nicholson et al. (2017), which select automatically the google trend terms and the lags of the predictors. An out-of-sample forecast comparison reveals that reducing the high dimensional google trend data set to a low-dimensional data set by the LASSO and the VAR-L models produces better forecast performance for oil consumption compared to the frequently-used forecast models such as the autoregressive model, the autoregressive distributed lag model and the vector error correction model.

• Journal of the Korean Data and Information Science Society
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• v.25 no.6
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• pp.1539-1547
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• 2014

In this paper we apply the autoregressive process to the nonlinear quantile regression in order to infer nonlinear quantile regression models for the autocorrelated data. We propose a kernel method for the autoregressive data which estimates the nonlinear quantile regression function by kernel machines. Artificial and real examples are provided to indicate the usefulness of the proposed method for the estimation of quantile regression function in the presence of autocorrelation between data.

• Journal of Korean Society of Forest Science
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• v.97 no.2
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• pp.140-143
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• 2008

This study compared the plywood demand prediction accuracy of econometric and vector autoregressive models using Korean data. The econometric model of plywood demand was specified with three explanatory variables; own price, construction permit area, dummy. The vector autoregressive model was specified with lagged endogenous variable, own price, construction permit area and dummy. The dummy variable reflected the abrupt decrease in plywood consumption in the late 1990's. The prediction accuracy was estimated on the basis of Residual Mean Squared Error, Mean Absolute Percentage Error and Theil's Inequality Coefficient. The results showed that the plywood demand prediction can be performed more accurately by econometric model than by vector autoregressive model.

• Journal of Korean Society of Forest Science
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• v.95 no.5
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• pp.601-604
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• 2006

This study compared the accuracy of partial multivariate and vector autoregressive models for lumber demand prediction in Korea. The partial multivariate model has three explanatory variables; own price, construction permit area and dummy. The dummy variable reflected the boom of lumber demand in 1988, and the abrupt decrease in 1998. The VAR model consists of two endogenous variables, lumber demand and construction permit area with one lag. On the other hand, the prediction accuracy was estimated by Root Mean Squared Error. The results showed that the estimation by partial multivariate and vector autoregressive model showed similar explanatory power, and the prediction accuracy was similar in the case of using partial multivariate and vector autoregressive model.

• The Korean Journal of Applied Statistics
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• v.35 no.1
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• pp.93-104
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• 2022

In forecasting realized volatility of the major US stock price indexes (S&P 500, Russell 2000, DJIA, Nasdaq 100), internet search volume reflecting investor's interests and implied volatility are used to improve forecast via a deep learning method of the LSTM. The LSTM method combined with search volume index produces better forecasts than existing standard methods of the vector autoregressive (VAR) and the vector error correction (VEC) models. It also beats the recently proposed vector error correction heterogeneous autoregressive (VECHAR) model which takes advantage of the cointegration relation between realized volatility and implied volatility.

• 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.

• 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.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.

• The Korean Journal of Applied Statistics
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• v.28 no.5
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• pp.871-883
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• 2015

Vector autoregressive (VAR) models in high dimension suffer from noisy estimates, unstable predictions and hard interpretation. Consequently, the sparse vector autoregressive (sVAR) model, which forces many small coefficients in VAR to exactly zero, has been suggested and proven effective for the modeling of high dimensional time series data. This paper studies coupling measures to select non-zero coefficients in sVAR. The basic idea based on the simulation study reveals that removing the effect of other variables greatly improves the performance of coupling measures. sVAR model coefficients are asymmetric; therefore, asymmetric coupling measures such as Granger causality improve computational costs. We propose two asymmetric coupling measures, filtered-cross-correlation and filtered-Granger-causality, based on the filtered residuals series. Our proposed coupling measures are proven adequate for heavy-tailed and high order sVAR models in the simulation study.