• Journal of Convergence for Information Technology
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• v.9 no.12
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• pp.54-61
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• 2019

Recently, IITS (intelligent integrated transportation system) has been important topic in Smart City related industry. As a main objective of IITS, prevention of traffic jam (due to car accidents) has been attempted with help of advanced sensor and communication technologies. Studies show that car accident has certain correlation with some factors including characteristics of location, weather, driver's behavior, and time of day. We concentrate our study on observing auto correlativity of car accidents in terms of time of day. In this paper, we performed the ARIMA tests including ADF (augmented Dickey-Fuller) to check the three factors determining auto-regressive, stationarity, and lag order. Summary on forecasting of hourly car crash counts is presented, we show that the traffic accident data obtained in Korea can be applied to ARIMA model and present a result that traffic accidents in Korea have property of being recurrent daily basis.

• Journal of Korean Society of Forest Science
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• v.89 no.1
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• pp.1-8
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• 2000

This paper investigates the empirical validity of market integration for the five softwood lumber markets in Canada : Atlantic, Quebec, Ontario, Prairie, and British Columbia (BC). The Augmented Dickey-Fuller (ADF) tests of monthly price series for the period 1987 : 10-1998 : 11 reveal strong evidence for the presence of a unit root in each series. Accordingly, the Johansen cointegration technique is used to test for the law of one price in the five regional markets. Results show that the law holds in the pair, three, four, and five markets, supporting the hypothesis of market integration.

• The Korean Journal of Financial Management
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• v.21 no.1
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• pp.125-148
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• 2004

This paper deals with the relationship between money supply and the stock market. However, unlike past works, it has employed a rational expectation hypothesis and an efficient market hypothesis drawn from new classical macroeconomics and new Keynesian macro-economics, respectively. Accordingly, hypothesis 1 states that if economic subjects have rational expectation, they will immediately respond to a change in money supply. On the other hand, hypothesis 2 supposes that the expectation of economic subjects has changed after the currency crisis. This paper has first identified unit root by using the augmented Dickey-Fuller test and the Phillips-Perron test, then testing both hypotheses by employing the Johansen Procedure and vector error correction model for the periods before and after a currency crisis.

• The Journal of Fisheries Business Administration
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• v.48 no.1
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• pp.51-71
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• 2017

We explore each of the three major domestic fishery product markets in South Korea- Frozen Squid, Frozen Hair tail and Dried Anchovy- to assess whether we can find evidence for Law of One Price (LOP) across the five major cities- Seoul, Dae-Jeon, Dae-Gu, Gwang-Ju and Busan. To achieve our aim, we utilize two different types of unit root tests: Augmented Dickey-Fuller (ADF) and Kwiatkowski-Phillips-Schmidt-Shin (KPSS) unit root test. In each of the three fishery product markets, we find evidence in support of LOP among several cities, which confirms that these markets are integrated to a certain extent. In particular, we find stronger evidence of LOP for Dried Anchovy market relative to the other two fishery product markets. Based on our findings, we argue that the Dried Anchovy market exhibits a greater degree of market integration across the five major cities in South Korea compared to the other two fishery product markets. The greater degree of market integration in the Dry Anchovy market is facilitated by its higher substitutability across cities; taken together these findings show that the market for Dried Anchovy in South Korea is more efficient than the markets for Frozen Squid and Frozen Hair tail.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 2007.11a
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• pp.477-481
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• 2007

The purpose of this study is to provide the ideal forecasting model of cadastral survey work load through the Economeatric Analysis of Time Series, Granger Causality and VAR Model Analysis, it suggested the forecasting reference materials for the total amount of cadastral survey general work load. The main result is that the derive of the environment variables which affect cadastral survey general work load and the outcome of VAR(vector auto regression) analysis materials(impulse response function and forecast error variance decomposition analysis materials), which explain the change of general work load depending on altering the environment variables. And also, For confirming the stability of time series data, we took a unit root test, ADF(Augmented Dickey-Fuller) analysis and the time series model analysis derives the best cadastral forecasting model regarding on general cadastral survey work load. And also, it showed up the various standards that are applied the statistical method of econometric analysis so it enhanced the prior aggregate system of cadastral survey work load forecasting.

• The Journal of Asian Finance, Economics and Business
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• v.3 no.2
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• pp.33-39
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• 2016

This study empirically evaluates the impact of exchange rate volatility, foreign direct investment, terms of trade, inflation, and industrial production and foreign exchange reserves on Pakistani trade volume over the period of 1975-2010 using quarterly data set. The study employs financial econometrics methods such as Augmented Dickey Fuller (ADF) test GARCH (1, 1) technique and Almon Polynomial Distributed Lag (APDL) models to estimate the relationship of variables. Findings of the study are in accordance with theoretical relationships presented by Clark, Tamirisa, Wei, Sadikov, & Zeng (2004), McKenzie (1999), Dellas & Zilberfarb (1993) and Côté (1994). These findings are also in accordance with the empirical studies which support positive relationship of exchange rate volatility and exports presented by Hsu & Chiang (2011), Chit (2008), Feenstra & Kendall (1991), Esquivel & Larraín (2002) and Onafowora & Owoye (2008). Findings of the study in terms of imports are supported by the studies such as Lee (1999), Alam & Ahmad (2011) and Arize (1998). The study also recommends some very important policy prescriptions.

• Journal of the Korean Data and Information Science Society
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• v.25 no.6
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• pp.1499-1506
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• 2014

Random walk is used for describing random phenomenon in various areas but tests for random walk developed so far are known to suffer from size distortion and low power. Kim et al. (2014) proposed a sign test for unit root (${\rho}=1$) hypothesis based on slopes. This article proposes a Wilcoxon signed rank test based on slopes for unit root hypothesis, and compares it with the augmented Dickey-Fuller test and the sign test by a simulation study. Our results confirm that the nonparametric tests are better than ADF test for small samples like n = 30. The results also show that the sign test is better than the Wilcoxon signed rank test and that for 0 < ${\rho}$ < 1 (-1 < ${\rho}$ < 0), the nonparametric tests suffer from power loss (improvement) as normal error changes to double exponential error.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.10
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• pp.523-530
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• 2020

The efficient market hypothesis explains the random walk hypothesis suggesting that stock prices are independent of each other, hence, it is impossible to earn abnormal profits. The positive effect of a well-functioning and highly efficient stock market on the performance of an economy motivated the Philippine Stock Exchange to pursue massive modernization initiatives. This research provides evidence of the existence of random walk in the Philippine stock market employing the Augmented Dickey-Fuller (1981) and Phillips-Perron (1988) unit root tests, the Lo-MacKinlay's (1988) conventional variance ratio test, and Chow-Denning's (1993) simple multiple variance ratio test. Results of the ADF and PP unit root tests confirm the necessary condition for a random walk. The Chow-Denning (1993) maximum /z/ statistic and the Wald test statistic as in Richardson and Smith (1991) for the joint hypotheses and the Lo and MacKinlay (1988) individual statistics variance ratio test generally accepted the null hypothesis of a random walk. That is, the unit root and variance ratio tests consistently indicate that the null hypothesis of random walk cannot be rejected. The existence of a random walk in weak-form efficiency can be attributed to market liquidity as a result of continuous development and modernization of the Philippine equity market.

• Journal of the Korea Institute of Information and Communication Engineering
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• v.26 no.1
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• pp.58-63
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• 2022

The daily number of confirmed cases of Coronavirus disease 2019(COVID-19) ranges between 1,000 and 2,000. Despite higher vaccination rates, the number of confirmed cases continues to increase. The Mu variant of COVID-19 reported in some countries by WHO has been identified in Korea. In this study, we predicted the number of confirmed COVID-19 cases in Korea using the SARIMA for the Covid-19 prevention strategy. Trends and seasonality were observed in the data, and the ADF Test and KPSS Test was used accordingly. Order determination of the SARIMA(p,d,q)(P, D, Q, S) model helped in extracting the values of p, d, q, P, D, and Q parameters. After deducing the p and q parameters using ACF and PACF, the data were transformed and schematized into stationary forms through difference, log transformation, and seasonality removal. If seasonality appears, first determine S, then SARIMA P, D, Q, and finally determine ARIMA p, d, q using ACF and PACF for the order excluding seasonality.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.12
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• pp.677-682
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• 2020

To investigate the nexus between urban population, gross capital formation, and economic growth in the Kingdom of Saudi Arabia, yearly data was collected from the World Bank for the period 1974- 2018. Basic statistics test and correlation matrix was used to investigate the causal effect among the tested parameters, followed by Augmented Dickey-Fuller (ADF) stationary test, co-integration analysis by Johansen test after that Vector Auto-Correction Model for both short-run and long-run and finally the Granger-Causality tests. Result of unit root test analysis shows that the urban population became stationary at I (0) level while economic growth and gross capital formation became stationary at I (1). Johansen co-integration analysis indicates that there is presence of both long-run and short-run relationship between the three variables in the Kingdom of Saudi Arabia. The result of the VECM Model reflects that both economic growth and gross capital formation have a negative impact on urban population in the short run. According to the Granger-Causality tests, there is unidirectional causality with the urban population by both gross capital formation and economic growth. Also, the result of the Granger Causality tests show that there is unidirectional causality between economic growth and gross capital formations.