시계열분석의 개입모형과 이상값모형의 비교연구

• 영문명: A Comparative Study between Intervention and Qutlier Model in the Time Series Data - Analysis of Effectiveness of the Real Name Financial Transaction System on the Bond Yield in Korea -
• 발행기관: 건국대학교 경제경영연구소
• 저자명: 김상익(Sang Ik Kim)
• 간행물 정보: 『상경연구』제23권 제2호, 369~384쪽, 전체 16쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 1998.12.31

영문 초록

Time series data are often affected by certain external interventions. In this paper we investigate two methods, the intervention model and the outier model, which are generally used to evaluate the effects of those interventions. Moreover, the computer program formulated to utilize the distance measure iterative method proposed by Lee and Choi(1995), which can be used as an alternative method to maximum likelihood iterative method in analysis of the outier model. And as an empirical study to compare two methods, we analyze the effectiveness of the legislation of Real Name Financial Transaction System on the bond yield in Korea, and discuss the applying procedures of two methods to real time series data

목차

Ⅰ. 서론

Ⅱ. 개입효과와 분석모형

Ⅲ. 이상값 형태와 모형변형

Ⅳ. 금융실명제의 영향분석

Ⅴ. 결론

참고문헌

Abstract