The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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A Study for an Efficient Utilization of the Linear Model

선형모형의 효율적 활용성에 관한 연구

  • Kim Tae-Ho (Department of Statistics, Institute for Basic Sciences, Chungbuk National University) ;
  • Cho Eun Jung (Department of Statistics, Chungbuk National University) ;
  • Kim Mi Yun (Dept. of Business Adminstration, Seoul National University)
  • 김태호 (충북대학교 통계학과(기초과학연구소)) ;
  • 조은정 (충북대학교 통계학과) ;
  • 김미연 (서울대학교 경영학과)
  • Published : 2005.03.01
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Abstract

Most of the statistical models that real data can be applicable are static in nature, and thus it is not possible to analyze the effect of variations in the real world over time. Usual specification of the models does not produce the length and the time path of the effect even if the effect of an exogenous variation continues for periods of time. In this study, deriving the dynamic inherence from the static structure of the linear model for better utilization, we attempt to apply actual data to compare and analyze the long-run effect of variations in the market variables between the related markets by formulating a simultaneous equation system. Accordingly, it is proved to be possible to obtain efficient analytical results and to derive various useful implications.

실제 자료를 적용시킬 수 있는 대부분의 통계모형들은 정태적 성질을 가지고 있어서 현실 동향의 흐름이나 파급효과를 분석하기에는 제약이 따른다. 외생적 변동의 영향은 실상 여러 기간에 걸쳐 지속되며 분포되지만 얼마나 계속되는지, 또 시간이 흐름에 따라 어떻게 조정되어 가는지 모형 자체만으로는 알 수 없어 추정결과의 현실 설명력이 떨어진다. 본 연구에서는 모형의 활용도를 높이기 위해 일반 선형모형의 정태적 구조에서 동태적 본질을 유도한 후 현실문제에 적용시켜 보기 위해 통계청, 증권거래소, 전경련 등의 자료를 이용, 관련 시장간에 변수 변동의 파급효과를 연립방정식 모형체계를 구축하여 비교ㆍ분석하였다. 그 결과 더욱 현실적인 추정결과를 도출할 수 있음과 동시에 모형의 실질활용도 또한 크게 향상될 수 있음이 입증되고 있다.

Keywords

References

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