PowerPoint

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17

1 1.2 1.3 1.1

1.1

:

;

1.2

;

;

233

34

4 5

567

8 9

1011

1.3

2 2.1

2.2

2.3

2.4

2.5

2.1

1

2

2.2

1964

1

2

3

1

2

3

1

88

8

0.500.200.30

300 370 400 500 550 410 500 600 700 750 600 610 650 750 800 900 1250

400

600

750

0.500.200.30

2.3

=

2

200910

0.01010.12520.25030.37540.50050.62560.75070.87580.990912111214421562200222222442267227823112197821002133215622002222226722782500320442100213321442244226722892311244442156216721782189220022112222223322445220022112222224422782311233323562400

1200920831%

22009 23491%

322132009 50%

467

221367~2213+67 2146~2280

521462280 38 0.8750.250=0.625 2146~2280 62.5%

2.4

yt1t2t3t4t (

1

2

3

4

1

2

3

186000.11860111600.7781299200.21984111656124000.11240111600.8892893000.1930111098124000.33720105400.6632474400.1744110788

21

2.5

1

2

3

4

GDPGDP

19521977 19531957GDP119.4167.81961GDP

2. 19781991 5419781991GDP9%, :

3. 19922006 199220WTO20082010

Y: GDP X Z Y=17328.44+1.798X+23051.72Zt (23.1) (5.25)0.9816F639.3

2. 12006200523.9%120072007 109998.2123.9%136287.77 20072007 Y17328.44+1.798136287.77+23051.722 273820.41

2. 2200724.12%2007 109998.2124.12%136532.37 2 Y17328.44+1.798136532.37+23051.722 274260.2

2007

d

3 3.1

3.2

3.3

3.4

3.1

01

+11

~

~

DW DW0~4

DW2 DW,;,DW2, DW:,;,;,

, =

1 1 2 3=0.05 47595%

1.55 1.60 1.65 1.67 1.7 1.75 1.80 1.82 50 52 57 56 60 65 62 70

1n=8

2

3

4

3.2

y

y y

=

0.75 0.5,

3.3

S

3.4

4 4.1 4.2 4.3 4.4 4.5 4.6

4.1 1 T

2 S

3 C

4 I

y

1 TC S

2 T

3CTCT C

4TSC y

4.2

1

2

t

4.3

1

19521983

t yt t yt t yt 19521276.8196312604.51974231163.619532348.0196413638.21975241271.119543381.1196514670.31976251339.419554392.2196615732.81977261432.819565461.0196716770.51978271558.619576474.2196817737.31979281800.019587548.0196918801.51980292140.019598638.0197019858.01981302350.019609696.9197120929.21982312570.0196110607.71972211023.31983322849.4196211604.01973221106.7

1 yx

2

3

151.7

(4)

,175.37

5

4.4

4.5

lg ab

(1) lga

(2) lga1k k

(3) lga>0 0

(4) lga>0 b>1k kk

4.6

5.1 5.2 5.3 5.4 5.5 5.6 5

5.1

1N=1N=nn

NN

N

2

3 N

N tN+1 0

1 111N=3N=512

5.2

2 17=0.10.3 0.9=0.1=0.3=0.9

=0.1=0.3=0.9 MSE=3.93 MSE=3.98 MSE=4.2 =0.117

5.3 1

2m5.15.25.35.4

5.15.25.3 5.4NN

5.4

m

5.55.65.55.6

5.5

Chart5

12.9

14.91

15.96

14.41

14.57

14.6

15.35

15.84

16.9

18.26

17.4

18.71

19.53

20.82

22.87

24.59

25.93

28.04

29.45

31.47

33.99

39.56

48.08

53.67

n=1n=3n=5

1200.0

2135.0200.0

3195.0135.0

4197.5195.0176.7

5310.0197.5175.8

6175.0310.0234.2207.5

7155.0175.0227.5202.5

8130.0155.0213.3206.5

9220.0130.0153.3193.5

10277.5220.0168.3198.0

11235.0277.5209.2191.5

12235.0244.2203.5

00.10.91

t00.1000.9000

t-100.0900.0900

t-200.0810.0090

t-300.0730.0010

t-400.0660.0000

0.10.50.9

1200.0

2135.0200.0200.0200.0

3195.0193.5167.5141.5

4197.5193.7181.3189.7

5310.0194.0189.4196.7

6175.0205.6249.7298.7

7155.0202.6212.3187.4

8130.0197.8183.7158.2

9220.0191.0156.8132.8

10277.5193.9188.4211.3

11235.0202.3233.0270.9

12205.6234.0238.6

M3M3abF

1200.0

2135.0

3195.0176.7

4197.5175.8

5310.0234.2195.6272.838.6

6175.0227.5212.5242.515.0311.4

7155.0213.3225.0201.7-11.7257.5

8130.0153.3198.1108.6-44.7190.0

9220.0168.3178.3158.3-10.063.9

10277.5209.2176.9241.432.2148.3

11235.0244.2207.2281.136.9273.6

12318.1

355.0

Brown

M3M3abF

1200.0200.0200.0

2135.0187.0200.0174.0-3.25

3195.0147.0189.4104.6-10.6170.8

4197.5195.5190.6200.41.2294.0

5310.0220.0196.5243.55.876201.6

6175.0283.0213.8352.217.3008249.4

7155.0171.0205.2136.8-8.55936369.5

8130.0150.0194.2105.8-11.047488128.2

9220.0148.0185.0111.0-9.237990494.8

10277.5231.5194.3268.79.30960768101.8

11235.0269.0209.2328.814.947686144278.0

12343.7

358.7

Holt

SbF

1200.0200.0-65.0

2135.0135.0-65.0135.0

3195.0132.5-15.070.0

4197.5157.517.0117.5

5310.0242.371.2174.5

6175.0244.215.8313.5

7155.0207.5-26.2260.0

8130.0155.7-46.7181.3

9220.0164.5-2.3108.9

10277.5219.843.8162.2

11235.0249.332.4263.7

12281.7

314.1

198312.9

198414.91

198515.96

198614.41

198714.57

198814.6

198915.35

199015.84

199116.9

199218.26

199317.4

199418.71

199519.53

199620.82

199722.87

199824.59

199925.93

200028.04

200129.45

200231.47

200333.99

200439.56

200548.08

200653.67

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

5.6

LI

6 6.1

6.2

6.1

i

i

K

t+1

xti+1ti+1

p

1

2

3

4

1

2k1/p

6.2

5

20072008

p2

0.5

0.0002

k0.0002

t=2t+1

1 =44

2 = 4844=4

3

0.5+20.00024450.572

0.5+20.00024430.569

13t=3t+1

1 53

2 5053 3

3 0.572+20.0002(3)480.514

0.569+20.0002(3)450.515

t=4t+1

t=6t=5et+1t=2

20072008

0.54 0.541 0.5453+0.54150=56

0.5456+0.54153=59 200720085659

k1/p

=

7 7.1

7.2

7.3

7.4 ARMA

7.1

t,km

Box-Jenkins ARMA ARMA ARMA

ARMA

ARAuto-regressive

MAMoving-Average

ARMAAuto-regressive Moving-Average

,

p

1

q

MA(q)

ARMA(p,q) (p,q)

q=0AR(p)

p=0MA(q)

ARMA(p,q)

AB1

0ts

7.2 ,

1 k

2

1 11

3k

k>3

ARMA AR(p)p

MA(q)q ARMA

ARMA(p,q)

7.3 Dickey-Fuller TestPhilips-Perron Test

1

2

3

Engle- GrangerJohansen

7.4 ARMA 1 ARMA(p,q)

q, .M M68.3%95.5% ()

. ,,,

M68.3%95.5%

ARMA

2F

3AICBIC

1 AR(p)Yule-WalkerAR(1) AR(2)

MA(q) MA(1)MA(2)

ARMA(p,q)

2 ARMA(p,q)

ARMA(p,q) ARMA(p,q) AR(p)

ARMA(p,q)

, t,ARMA(p,q)

95%

AR(2) 1

Yule-Walker

2AR(2) 12195%,

1295%

8 8.1

8.2

8.3

8.1

T , ,

, ,

a. T

Yt

Bb

b.

c.

d.

8.2

ARIMA

1

ARIMApq

2

ARIMA

a.

b.

c.

d.

8.3

1 : 1952~1993,19781978

t123456789101112xt100114.0120.6128.3146.4153.0186.7202.0199.1140.0130.9144.9

t131415161718192021222324xt168.8197.4231.0214.3200.3239.0294.6315.3324.3351.2355.2384.7

t252627282930313233 3435xt374.5403.7453.4485.1516.3541.5585.8644.2731.9830.6894.5

t36373839404142xt985.71097.21133.41191.71283.41480.91704.6

:11952~1977

txt Zt

1952~1977

21978~1993, Zt

t19781979198019811982198319841985Zt3.805.153.736.040.8319.2364.25117.49

t19861987198819891990199119921993Zt133.04172.89229.94212.28209.60237.50354.96404.24

:

:

3

9 9.1

9.2 9.3

9.4

9.1

12

1234

9.2 1

2

3

4

9.3

1GNPGDP

2

3

4

5

1

2

3KL

4

5

6

TCSI Y=TCSI T=T+C+S+I Y=TC+SI

DI12 TC C3

10<

3100%> >50%

450%> >0

1 52000671

1I I=1 I=0I=0.5

2

3

9.4

1

2

3

4

5

10 10.1 10.2 GM(1,1) 10.3 GM(1,1)GM (n, h)

10.1 1

2

3

1

:

1m

1

k 0

2

,

=0.5

10.2 GM(1,1)GM11 n GM11

1

2=0.50.6

3a.:

b. c.

d. : P>0.95>0.80>0.700.70 C

10.3 GM(1,1)GM (n, h) GM11GM11GM(1,1)

GMnh GMnhNGM

11

11.1 11.2 11.3

11.1

12

12

12

k=k0kk0

k=12ni

i=12r)

i=12m)

1 1Xkk3

2

p1p2p3p1=0.1p2=0.13p3=0.083

4C33

11.2

Xk) k>j k=j k

11.3 1. 2. 3.

12 12.1 12.2 12.3 12.4

12.1

?, ? ,?

12.2

1Makridakis

2

,

Spivey Wrobleski:

33 ,

McNees:SpiveyWrobleski11

12.3

,

,

()();

12.4

Bates Granger

(1)

2.

n R2>0.9,n,,

2

tn t n

n=2:in>2:i

n

nn1

n1n1,

Box-Jenkins

nARIMAARIMA

,,

2080

13 13.1

13.2

13.3

13.1

1.

2.

1 2

3. :

13.2

13.3

14 14.1 14.2 14.3 14.4 14.5 14.6 14.7 14.8

14.1

14.2

1 2 3

1.

2.

3.

14.3

1.

2.

3.

d1d2dm

14.4

1.

2.

3.

14.5

1.

2.

14.6

1. 2. 3.

1.0-+

14.7

1. 2.

14.8

121

1 2 3

1. 2. 3. 4.

1 700210403300906034000.70.3370.90.110

145789623606090402104021040 0.7 0.3 0.7 0.3 0.9 0.1 0.9 0.1 0.9 0.1 3 7 1227.51247.51295-280895420895609

42100.97400.17=12955407=280212950.7+2100.732800.3400.33=1227.582100.97400.17400=8959900.97+600.17=60968968957607=42038950.7+2100.73+4200.3+600.33=1247.5

2333

15 15.1

15.2

15.1

1 2 3, 4

AiBn n

1 2

3 4

1 2

15.2

1

2

1 9090%70%40%60%5

0.70.3

16 16.1 16.2 16.3 16.4 16.5

16.1

1 2 3

,

4

5

16.2

16.3 =1 =00<

16.4

nndin

:

:

16.5

1 :

S1S2200150100202060

1 23 4

1 200

2 60

3

4 max(200200,60+20)=80

max(200150,6020)=50

max(200100,6060)=100

50

17 17.1 17.2 17.3 17.4 17.5

17.1

1

2

1

2 3

1. 123 2.

17.2 AHP

1 (2)

123 4 5

WiiiA

n 0(1) aii=1max=n

135792468

12

3 4

CR

17.3

17.4

1

1 0

17.5 )

) xi

)

1 D1D2D3: A1:A2:A3:A4:A5:A6:

A1 A2 A3 A4 A5 A6 A1 1 1 4 3 3 4 A2 1 1 1/3 5 1 1/3 A3 1/4 3 1 7 1/5 1 A4 1/3 1/5 1/7 1 1/5 1/6 A5 1/3 1 5 5 1 3 A6 1/4 3 1 6 1/3 1

A1 D1 D2 D3 D1 1 1/3 1/2 D2 3 1 3 D3 2 1/3 1

A2 D1 D2 D3 D1 1 9 7 D2 1/9 1 1/5 D3 1/7 5 1

A3 D1 D2 D3 D1 1 1 1 D2 1 1 1 D3 1 1 1

A5 D1 D2 D3 D1 1 1/2 1 D2 2 1 2 D3 1 1/2 1

A6 D1 D2 D3 D1 1 6 4 D2 1/6 1 1/3 D3 1/4 3 1

A4 D1 D2 D3 D1 1 5 1 D2 1/5 1 1/5 D3 1 5 1

A1-A6

0.1 =0.37 0.38 0.25 D2