응용통계연구 (The Korean Journal of Applied Statistics)

  • 제21권5호
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  • Pages.727-738
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  • 2008
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  • 1225-066X(pISSN)
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  • 2383-5818(eISSN)
한국통계학회 (The Korean Statistical Society)
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시간가변적 공적분관계의 안정화

Stabilization of the Time-variant Cointegrating Relations

  • Kim, Tae-Ho (Dept. of Information Statistics, Chungbuk National University) ;
  • Park, Ji-Won (Korea Development Institute(KDI))
  • 발행 : 2008.10.31
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초록

변수들 사이 공적분관계의 존재는 불안정한 시계열의 선형결합이 안정적임을 뜻하지만 이 결합이 표본기간 내 발생한 사건에 영향을 받는다면 공적분검정의 기본 가정에 위배되어 검정력은 약해지고 결과는 현실과 차이가 난다. 이러한 관점에 입각하여 본 연구에서는 전체 표본의 일부를 단계적으로 증가시켜 가며 국내 주식시장 장기균형체계를 추정하여 시간가변성 및 안정성을 검정하였으며, 구조적 변화의 발생이 확인된 구간에 대해서는 가변수를 추가하는 방식으로 전 구간에 걸쳐 공적분 벡터를 안정화시키는 방안을 모색하여 보았다.

If a cointegrating relation is affected by important economic and political events occurred in the sample period, the assumption of the time-invariant cointegrating vector is violated, which leads to the misrep-resentation of the actual relations between the variables. From such a viewpoint, this study utilizes the recursive estimation process in testing for the stability of the long-run equilibrium of the domestic stock market system and then attempts to develop the framework for stabilizing time-variant cointegraing relations by introducing the dummy variables where the structural changes are found to exist.

키워드

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