Analysis of Composit Index Using the Time Series Model

• 발행기관: 한국자료분석학회
• 저자명: Jeong Hyeong Lee Sinsup Cho
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.1 No.1, 65~80쪽, 전체 16쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 1999.06.30

영문 초록

The leading index gives useful information for the prediction of an economic event and the coincident index provides a summary of the state of actual economic activity. It has been observed that there exist regular and short time lags, usually 3 or 4 months, between the leading index and the coincident index. In this paper, therefore, we evaluate the index of leading indicators as a tool for prediction. From this standpoint, the relationships between the leading indicators and the coincident index are analyzed by both the regression model and the time series model (transfer function model). And the predictive performances of each model are compared.

목차

1. Introduction

2. Composite Indexes

3. Forecasting Models

4. Empirical Comparisons

5. Concluding Remarks

Refrences

키워드

leading index leading indicator coincident index lead-lag regression model transfer function model