• The Korean Journal of Applied Statistics
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• v.27 no.3
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• pp.431-444
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• 2014

We introduce the empirical model decomposition (EMD) to decompose a time series into a set of components in the time-frequency domain. By using EMD, we also extract cycle and trend components from major Korean macroeconomic indices and forecast the indices with the components combined. In order to evaluate their efficiencies, we investigate volatility, autocorrelation, persistence, Granger causality, nonstationarity, and forecasting performance. They are then compared with those by Hodrick-Prescott filter which is the most commonly used method.

• Journal of Korea Port Economic Association
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• v.29 no.1
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• pp.67-76
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• 2013

It has been more than four years since the outbreak of global financial crisis. However, the world economy continues to be challenged with new crisis such as the European debt crisis and the fiscal cliff issue of the U.S. The global economic environment remains fragile and prone to further disappointment, although the balance of risks is now less skewed to the downside than it has been in recent years. It's no wonder that maritime business will be bearish since the global business affects the maritime business directly as well as indirectly. This paper, hence, aims to predict the Baltic Dry Index representing the shipping business using the ARIMA-type models and Hodrick-Prescott filtering technique. The monthly data cover the period January 2000 through January 2013. The out-of-sample forecasting performance is measured by three summary statistics: root mean squared percent error, mean absolute percent error and mean percent error. These forecasting performances are also compared with those of the random walk model. This study shows that the ARIMA models including Intervention-ARIMA have lower rmse than random walk model. This means that it's appropriate to forecast BDI using the ARIMA models. This paper predicts that the shipping market will be more bearish in 2013 than the year 2012. These pessimistic ex-ante forecasts are supported by the Hodrick-Prescott filtering technique.

• The Korean Journal of Applied Statistics
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• v.37 no.2
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• pp.119-138
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• 2024

Text indicators are increasingly valuable in economic forecasting, but are often hindered by noise and high dimensionality. This study aims to explore post-processing techniques, specifically noise filtering and dimensionality reduction, to normalize text indicators and enhance their utility through empirical analysis. Predictive target variables for the empirical analysis include monthly leading index cyclical variations, BSI (business survey index) All industry sales performance, BSI All industry sales outlook, as well as quarterly real GDP SA (seasonally adjusted) growth rate and real GDP YoY (year-on-year) growth rate. This study explores the Hodrick and Prescott filter, which is widely used in econometrics for noise filtering, and employs sufficient dimension reduction, a nonparametric dimensionality reduction methodology, in conjunction with unstructured text data. The analysis results reveal that noise filtering of text indicators significantly improves predictive accuracy for both monthly and quarterly variables, particularly when the dataset is large. Moreover, this study demonstrated that applying dimensionality reduction further enhances predictive performance. These findings imply that post-processing techniques, such as noise filtering and dimensionality reduction, are crucial for enhancing the utility of text indicators and can contribute to improving the accuracy of economic forecasts.

• The Journal of the Korea Contents Association
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• v.17 no.9
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• pp.300-309
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• 2017

This paper examines the cyclical fluctuation of 'construction orders' and 'construction investment' using HP filter, Bandpass filter and Beveridge-Nelson decomposition methods. The main results are as follows. As a result of the analysis of the cyclical fluctuation of construction orders, it was analyzed that there were about 7 cyclical fluctuations from 1976 to the first quarter of 2017. Construction orders for cyclical fluctuations peaked in the second quarter of 2015 and turned to a downward trend. On the other hand, construction investment has experienced about 6 cycles of fluctuations during the same period, and it has been rising continuously since the bottom of 3Q12. This is consistent with the general theory that construction orders precede construction investments. In addition, the comparison of the construction orders, construction investment, and GDP amplitude shows that the GDP amplitude is the smallest and stable, and the construction orders have the greatest variation in amplitude. Therefore, construction orders should be adjusted by government policy depending on economic fluctuations.

• Korean Journal of Remote Sensing
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• v.39 no.3
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• pp.325-338
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• 2023

Korean fir (Abies koreana Wilson) is one of the most important environmental indicator tree species for assessing climate change impacts on coniferous forests in the Korean Peninsula. However, due to the nature of alpine and subalpine regions, it is difficult to conduct regular field surveys of Korean fir, which is mainly distributed in regions with altitudes greater than 1,000 m. Therefore, this study analyzed the vegetation change trend of Korean fir using regularly observed remote sensing data. Specifically, normalized difference vegetation index (NDVI) from Moderate Resolution Imaging Spectroradiometer (MODIS), land surface temperature (LST), and precipitation data from Global Precipitation Measurement (GPM) Integrated Multi-satellitE Retrievalsfor GPM from September 2003 to 2020 for Hallasan and Jirisan were used to analyze vegetation changes and their association with environmental variables. We identified a decrease in NDVI in 2020 compared to 2003 for both sites. Based on the NDVI difference maps, areas for healthy vegetation and high mortality of Korean fir were selected. Long-term NDVI time-series analysis demonstrated that both Hallasan and Jirisan had a decrease in NDVI at the high mortality areas (Hallasan: -0.46, Jirisan: -0.43). Furthermore, when analyzing the long-term fluctuations of Korean fir vegetation through the Hodrick-Prescott filter-applied NDVI, LST, and precipitation, the NDVI difference between the Korean fir healthy vegetation and high mortality sitesincreased with the increasing LST and decreasing precipitation in Hallasan. Thissuggests that the increase in LST and the decrease in precipitation contribute to the decline of Korean fir in Hallasan. In contrast, Jirisan confirmed a long-term trend of declining NDVI in the areas of Korean fir mortality but did not find a significant correlation between the changes in NDVI and environmental variables (LST and precipitation). Further analyses of environmental factors, such as soil moisture, insolation, and wind that have been identified to be related to Korean fir habitats in previous studies should be conducted. This study demonstrated the feasibility of using satellite data for long-term monitoring of Korean fir ecosystems and investigating their changes in conjunction with environmental conditions. Thisstudy provided the potential forsatellite-based monitoring to improve our understanding of the ecology of Korean fir.