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칼만 필터를 이용한 제주지역 경기변동의 특성 연구

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Alternative Title
Kalman Filter Approach to Business Cycle Characteristics of Jeju
Abstract
The business cycle is the downward and upward movement of all economic
activity within a certain long- or short-term growth trend. In order to
encourage sustainable economic growth, it is very important that we study
the underlying factors of business cycles and the types of changes within
these cycles. Therefore, this paper investigates the characteristics of business
cycles in Jeju by using the Kalman Filter and VAR model for the sustainable
development of the region.
The results were as follows. First, a high rate of probability trends factors
for long-term economic growth such as capital accumulation, capital
investment, technological development means that Jeju Island has high growth
potential. Second, in Jeju the production variability was unable to contribute
to volatility in the employment sector. Third, the tourism sector of primary
industries has a stabilizing effect on the economic cycle.
Author(s)
강민서
Issued Date
2015
Awarded Date
2016. 2
Type
Dissertation
URI
http://dcoll.jejunu.ac.kr/jsp/common/DcLoOrgPer.jsp?sItemId=000000007497
Alternative Author(s)
Kang, Min-Seo
Department
대학원 경제학과
Advisor
박상수
Table Of Contents
Ⅰ. 서론 1
Ⅱ. 경기변동(Business Cycle)의 이론과 실제 3
1. 주요 경기변동이론 3
2. 경기변동(Business Cycle)의 특징과 분석 13
3. 제주지역 경기변동(Business Cycle)의 특성 17
Ⅲ. 추세와 순환성분 추출법 및 충격 전달과정 분석 방법 24
1. 경기종합지수 작성에 활용되고 있는 추세추출법 24
2. 비관측요소모형과 구조적 시계열 모형 32
3. 칼만 필터(Kalman Filter)를 이용한 모수 추정 36
4. 벡터자기회귀모형(VAR : Vector Autoregressive model) 40
Ⅳ. 분석 결과 43
1. 확률적 추세 검정을 위한 단위근 검정 44
2. 추세성분과 순환성분 비교 분석 결과 49
3. VAR모형을 이용한 성장률 순환 변동의 전달과정 분석 결과 76
Ⅴ. 결론 97
참 고 문 헌 99
ABSTRACT 105
부 록 106
Degree
Master
Publisher
제주대학교 대학원
Citation
강민서. (2015). 칼만 필터를 이용한 제주지역 경기변동의 특성 연구
Appears in Collections:
Faculty of Data Science for Sustainable Growth > Economics
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