• 한국철도학회:학술대회논문집
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• 한국철도학회 2010년도 춘계학술대회 논문집
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• pp.1814-1820
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• 2010

Korean Train Express (KTX) has been commercially operating and achieving elevation on transport capacity since 2004. And the first hish-speed prototype test train, HSR-350x, was developed and succeeded in testing of running over 350km/h. Now KTX-II based on HSR-350x was started in service run. The new high-speed train development project, HEMU-400x project, has started since 2007. The protype train is being designed and manufactured. After the train are developed completely, it will run on the commercial line and will be test to verify the estimated performance. The authors devised the performance evaluation method and process of the HEMU-400x prototype system. And we introduce the definite performance test items and the method to vitrificate them in this paper.

• The Journal of Asian Finance, Economics and Business
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• 제7권1호
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• pp.37-46
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• 2020

The paper examines the dynamic relationship of domestic credit and stock market liquidity on the economic growth of the Philippines from 1995 to 2018 applying the autoregressive distributed lag (ARDL) bounds testing approach to cointegration, together with Granger causality test based on vector error correction model (VECM). The ARDL model indicated a long-run relationship of domestic credit and stock market liquidity on GDP growth. When the GDP per capita is the dependent variable there is weak cointegration. Also, the Johansen cointegration test confirmed the existence of long-run relationship of domestic credit and stock market liquidity both on GDP growth and GDP per capita. The VECM concludes a long-run causality running from domestic credit and stock market liquidity to GDP growth. At levels, domestic credit has significant short-run causal relationship with GDP growth. As for stock market liquidity at first lag, has significant short-run causal relationship with GDP growth. With regards to VECM for GDP per capita, domestic credit and stock market liquidity indicates no significant dynamic adjustment to a new equilibrium if a disturbance occurs in the whole system. At levels, the results indicated the presence of short-run causality from stock market liquidity and GDP per capita. The CUSUMSQ plot complements the findings of the CUSUM plot that the estimated models for GDP growth and GDP per capita were stable.

• 재무관리논총
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• 제6권1호
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• pp.313-334
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• 2000

In this paper, we obtained some supportive evidence for the long-run PPP relationship concerning the Korean Won currency. Previous tests of PPP in the bilateral exchange rates of the Korean Won rate vis-a-vis the U.S. Dollar have been exposed to the lack of power problem. We argue that their failure to find PPP relation in Korean Won rates was due to the low power of Augmented Dickey-Fuller tests or the Engle-Granger two-step tests applied to the Korean exchange rate data with short sample period. En attempting to alleviate this low power problem, we used the error-correction model test and the Johansen test for bilateral long-run equilibrium relationships between exchange rates and price indices from Korea's major trading partners. It is surprising that our evidence supporting for long-run PPP in Korean Won rate contrasts sharply with Bahmani-Oskooee, Moshen and Rhee, Hyun-Jae(1992)'s.

• The Journal of Asian Finance, Economics and Business
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• 제7권6호
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• pp.185-195
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• 2020

The study investigates the impact of globalization on coal consumption in Vietnam. This study employs an autoregressed distributed lag approach on time series data for the period of 1990 to 2017. The study tests the stationary, cointegration of time series data and utilizes autoregressed distributed lag modeling technique to determine the short-run and long-run relationship among coal consumption, globalization, income, population, and CO₂ emissions. The results show that globalization increases coal consumption in Vietnam in the long run. The results also show that rapid economic growth promotes more coal consumption in the short run as well as in the long run. Moreover, higher population reduces coal consumption, and CO₂ emissions decrease coal consumption both in the short run and the long run. The findings of the study suggest that globalization increases coal consumption in Vietnam in the long run. This result suggests that the increase in globalization level in Vietnam increases coal consumption. An interesting finding is that higher population reduces coal consumption, and population is an important factor towards the lessening in coal consumption. The findings confirm that environmental pollution decreases coal consumption in the short run and the long run. This implies that coal consumption may be green consumption in Vietnam.

• 물과 미래
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• 제10권1호
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• pp.79-94
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• 1977

본 연구는 Run-Length와 Run-Sum에 의한 강우량과 하천유량을 분석하여 그 특성을 구명하고, 이로부터 모의발생 모델(Simulation Model)을 설정하여 검토하는데 목적을 두고 있다. 분석에 있어서는 우리나라의 주요도시(서울, 대구 및 부산)의 일강우량과 주요하천(한강, 낙동강 및 금강)의 일류량 자료들을 사용하였다. 또한 해석에 있어서는 Run-Length와 Run-Sum에 대한 각각의 분포형 분석으로부터 Weibull 분포 및 1-변수지수 분포를 하고 있음을 알았으며, 이로부터 Monte Carlo 기법(Monte Carlo technique)을 기초로 하는 Weibull모델(Weibull model)과 1-변수지수 모델(One-Parameter Exponential Model)에 의해서 Run-Length와 Run-Sum을 모의발생 시켰다. 그 결과 기록치(Historical Data)에 근사한 모의발생 자료(Simulation Data)를 얻었다.

• Communications for Statistical Applications and Methods
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• 제23권6호
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• pp.587-592
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• 2016

It is a long-standing issue to correctly determine the number of long-run relationships among time series processes. We revisit nonparametric test for cointegration rank and propose bootstrap refinements. Consistent with model-free nature of the tests, we make use of Cholesky factor bootstrap methods, which require weak conditions for data generating processes. Simulation studies show that the original Breitung's test have difficulty in obtaining the correct size due to dependence in cointegrated errors. Our proposed bootstrapped tests considerably mitigate size distortions and represent a complementary approach to other bootstrap refinements, including sieve methods.

• 물과 미래
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• 제21권1호
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• pp.77-86
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• 1988

본 연구의 목적은 연수문자료를 추계학적 방법은 Runs의 이론으로 해석하는데 있다. 일정수문량(Truncation Level ; T.L. 일정수문량) 별로 발생하는 Run-length의 통계적 특성을 이용하여 수문시계열의 구조를 조사하였으며 Run-length의 상대빈도에 대하여 이론치와 관측치를비교 분석한 결과 대체적으로 이론치에 근접하였다. 따라서 임의의 일정수문량에 대하여 조기(dry period)와 양기(wet peried)의 확률을 추정할 수 있음을 규명 하였다. 분석에 사용한 자신은 비교적 장기간의 자료를 얻을 수 있는 지점의 연강우량(4개지점)과 연유출량 자료(3개지점)을 사용하였다. 연유출량자료는 Markov 모델에 의하여 모의발생된 자료를 사용하였으며 이에 대한 모델의 적용성을 검정하였다. 또한 통계적 분석방법인 양쪽 검정(two side test) 결과에 의하면 각 지점별 연수문자료는 독립계열로 판명 되었으며 연유출계열에 대하여 Markov 모델의 적용성을 찾아낼 수 있었다.

• 한국농공학회지
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• 제32권4호
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• pp.27-43
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• 1990

This study aimed at developing a generalized model on the estimation of the long - term run - off volume for practical purpose. During the research period of last 3 years( 1986-1988), 3 types of estimation model on the long - term run - off volume(Effective rainfall model, unit hydrograph model and barne's model for dry season) had been developed by the author. In this study, through regressional analysis between determinant factors (bi of effective rainfall model, ai of unit hydrograph model and Wi of barne's model) and catchment characteris- tics(catchment area, distance round the catchment area, massing degree coefficient, river - exte- nsion, river - slope, river - density, infiltration of Watershed) of 11 test case areas by multiple regressional method, a new methodology on the derivation of determinant factors from catchment characteristics in the watershed areas having no hydrological station was developed. Therefore, in the resulting step, estimation equations on run - off volume for practical purpose of which input facor is only rainfall were developed. In the next stage, the derived equations were applied on the Kang - and Namgye - river catchment areas for checking of their goodness. The test results were as follows ; 1. In Kang - river area, average relative estimation errors of 72 hydrographs and of continuous daily run - off volume for 245 days( 1/5/1982 - 31/12) were calculated as 6.09%, 9.58% respectively. 2. In Namgye - river area, average relative estimation errors of 65 hydrographs and of conti- nuous daily run - off volume for 2fl days(5/4/1980-31/12) were 5.68%, 10.5% respectively. In both cases, relative estimation error was averaged as 7.96%, and so, the methodology in this study might be hetter organized than Kaziyama's formula when comparing with the relative error of the latter, 24~54%. However, two case studies cannot be the base materials enough for the full generalization of the model. So, in the future studies, many test case studies of this model should he carries out in the various catchment areas for making its generalization.

• 품질경영학회지
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• 제24권4호
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• pp.14-28
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• 1996

We consider optimal designs of partially accelerated life testing which is deviced for parallel systems with the considerably long life time. In partially step-stress life testing, test items are first run simultaneously at use condition for a specified time, and the surviving items are then run at accelerated condition until a predetermined censoring time. In partially constant-stress life testing, test items are run at either use or accelerated condition only until a specified censoring time. The optimal criterion for each test is to minimize either the generalized asymptotic variance of maximum likelihood(ML) estimators of the hazard rates at use condition and the acceleration factors or the asymptotic variance of the ML estimators of the acceleration factors.

• 유통과학연구
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• 제11권10호
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• pp.55-62
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• 2013

Purpose - The purpose of this study is to suggest a risk factor that significantly explains foreign currency risk premia. In recent years, some studies have found that the performance of the simultaneous consumption risk model improves considerably when tested on foreign currency portfolios, which are constructed based on the international interest rates differentials. However, this paper focuses on the long-run consumption risk factor. In our empirical research, we found that the real excess returns of high interest rate currency portfolios depreciate on average, when the future American long-run consumption growth rate appears low. This makes the high interest rate currency portfolios have relatively high risk premia. Meanwhile, the real excess returns of low interest rate currency portfolios appreciate on average, under the same conditions, which results in relatively low risk premia for these portfolios. Therefore, this long-run consumption risk factor might explain why low interest rate currencies do not appreciate as much as the interest rate differential, and why high interest rate currencies do not depreciate as much as the interest rate differential. Research design, data, methodology - In our explanation, we provide new evidence on the success of long-run consumption risks in currency risk premia by focusing on the long-run consumption risks borne by American representative investors. To uncover the hidden link between exchange rates and long-run consumption growth, we set the eight currency portfolios as our basic assets, which have been built based on the foreign interest rates of eighty countries. As these eight currency portfolios are rebalanced every year, the first group always contains the lowest interest rate currencies, and the last group contains the highest interest rate currencies. Against these basic eight currency portfolios, we estimate the long-run consumption risk model. We use recursive utility framework and the stochastic discount factor that depends on the present value of expected future consumption growth rates. We find that our model is optimized in the two-year period of constructing the durable consumption expectation factor. Our main results surprisingly surpass the performance of the existing benchmark simultaneous consumption model in terms of R², relatively risk aversion coefficient γ, and p-value of J-test. Results - The performance of our model is superior. R², relatively risk aversion coefficient γ, and p-value of J-test of our long-run durable consumption model are 90%, 93%, and 65.5%, respectively, while those of EZ-DCAPM are 87%, 113%, and 62.8%, respectively. Thus, we can speculate that the risk premia in foreign currency markets have been determined by the long-run consumption risk. Conclusions - The aggregate long-run consumption growth risk explains a large part of the average change in the real excess returns of foreign currency portfolios. The real excess returns of high interest rate currency portfolios depreciate on average when American long-run consumption growth rate is low, and the real excess returns of low interest rate currency portfolios appreciate under the same conditions. Thus, the low interest rate currency portfolios allow investors to hedge against aggregate long-run consumption growth risk.