시간이 지남에 따라 미국 경상수지가 deficit이 되어가고있는데요. 앞으로 미국 경상수지가 어떻게 될것인지 예측하고싶은데 예측하는 과정에서 white nosie (백색잡음)이 있는걸 확인했습니다. 어떤식으로 풀어야할까요? 1. 일단 그래프를 보면 안정성이 없다고 판단되는데요. 안정성을 찾기위해 어떻게 해야하나요? Ex1) growth=CA - CA(-1) / CA(-1) Ex2) DCA= CA - CA(-1) 2. White noise 발생시 어떻게 해서 풀수있을까요? 너무 기초적인것도 몰라서 죄송합니다ㅜ ㅜ 학교에서 가르쳐주는게 한계가있어서 자꾸 헷갈리네요... 2주를 해메다가 좋은카페를 발견하고 글을 남겨요ㅠ ㅜ 답변 기다리겠습니다. 감사합니다 ! ※data 출처 https://research.stlouisfed.org/fred2/series/BPBLTT01USQ188S# Frequency: Quarterly Current Account Balance ($) 1960-01-01 0.2576845205227310 1960-04-01 0.3906393956145200 1960-07-01 0.6124542124542120 1960-10-01 0.8190722602106820 1961-01-01 0.9078585821579040 1961-04-01 0.6501614639397200 1961-07-01 0.5941569869764170 1961-10-01 0.5729023383768910 1962-01-01 0.4341397849462360 1962-04-01 0.6936608031861930 1962-07-01 0.6305774278215220 1962-10-01 0.4775729897243520 1963-01-01 0.5415127669824960 1963-04-01 0.7591009813232040 1963-07-01 0.6331782945736430 1963-10-01 0.8246792913866830 1964-01-01 1.1384294441961000 1964-04-01 0.8971797884841360 1964-07-01 0.9959584295612010 1964-10-01 0.9518900343642610 1965-01-01 0.6991101223581760 1965-04-01 0.8612779901693060 1965-07-01 0.6958144494801390 1965-10-01 0.6669253654119780 1966-01-01 0.4926627367364860 1966-04-01 0.3909811694747270 1966-07-01 0.2363547758284600 1966-10-01 0.3717810516229490 1967-01-01 0.4141843971631200 1967-04-01 0.3134766772412170 1967-07-01 0.2598661435495040 1967-10-01 0.2146739130434780 1968-01-01 0.0860498298759741 1968-04-01 0.1405532414824310 1968-07-01 0.0583849627218314 1968-10-01 -0.0210287599216576 1969-01-01 0.0490255173799478 1969-04-01 -0.0518093731461341 1969-07-01 0.0186046511627907 1969-10-01 0.1372153358316520 1970-01-01 0.2354057902230660 1970-04-01 0.3633305298570230 1970-07-01 0.1892512632062470 1970-10-01 0.0813559322033898 1971-01-01 0.2401124978027770 1971-04-01 -0.1411074693807140 1971-07-01 -0.1816487333728710 1971-10-01 -0.3930965147453080 1972-01-01 -0.5488733992543360 1972-04-01 -0.5319266199511850 1972-07-01 -0.3972793321997220 1972-10-01 -0.3393393393393390 1973-01-01 0.0420076772651554 1973-04-01 0.2463318284424380 1973-07-01 0.7619710467706010 1973-10-01 0.9148806706781150 1974-01-01 0.4313909145647960 1974-04-01 0.0286794420544909 1974-07-01 -0.0754765255212997 1974-10-01 0.1325015595757950 1975-01-01 1.0390219807359800 1975-04-01 1.2108186428398900 1975-07-01 0.9522698097794380 1975-10-01 1.0902089586046800 1976-01-01 0.5625650863250210 1976-04-01 0.3550002692659810 1976-07-01 -0.0177730759058450 1976-10-01 0.0336359884440776 1977-01-01 -0.5394228356336260 1977-04-01 -0.5884865547034270 1977-07-01 -0.5196004523181300 1977-10-01 -1.0812007193249400 1978-01-01 -1.2713360800470900 1978-04-01 -0.6465805015834970 1978-07-01 -0.6114469131685360 1978-10-01 -0.1094190637337850 1979-01-01 -0.0669932058777058 1979-04-01 -0.1064755961323630 1979-07-01 0.1382564409826240 1979-10-01 -0.0143552935144835 1980-01-01 -0.4947613087788310 1980-04-01 -0.1344333726204510 1980-07-01 0.6060139860139860 1980-10-01 0.3184232503758140 1981-01-01 0.1229963599208120 1981-04-01 0.1550847725191800 1981-07-01 0.2552434686618420 1981-10-01 0.0924623115577890 1982-01-01 -0.0348219194819476 1982-04-01 0.4549575240896950 1982-07-01 -0.4799382257729200 1982-10-01 -0.5865367685897060 1983-01-01 -0.2892854064304800 1983-04-01 -0.8742675372509630 1983-07-01 -1.3976112450234300 1983-10-01 -1.6273543900318700 1984-01-01 -2.1396442445307700 1984-04-01 -2.3351432129514300 1984-07-01 -2.2883984929294900 1984-10-01 -2.5642781367537800 1985-01-01 -2.2203445834316700 1985-04-01 -2.6673174813471900 1985-07-01 -2.8492240476949000 1985-10-01 -3.1122588758393000 1986-01-01 -3.0298252994708100 1986-04-01 -3.1341763259571500 1986-07-01 -3.2945709585245500 1986-10-01 -3.3602604188975000 1987-01-01 -3.3161606351083100 1987-04-01 -3.3172249300010400 1987-07-01 -3.2755024997449200 1987-10-01 -3.2876341409998600 1988-01-01 -2.5892429183200400 1988-04-01 -2.2194826890949900 1988-07-01 -2.1076705349561300 1988-10-01 -2.3195078241912500 1989-01-01 -2.0618735752795200 1989-04-01 -1.7886433089332700 1989-07-01 -1.5442257861194800 1989-10-01 -1.6500676683901900 1990-01-01 -1.6056223263393800 1990-04-01 -1.3071116541416300 1990-07-01 -1.4287751886557800 1990-10-01 -0.9468563744126970 1991-01-01 0.6577813010949810 1991-04-01 0.1643987238752520 1991-07-01 -0.2692654058921910 1991-10-01 -0.3440510884971250 1992-01-01 -0.3907973921765300 1992-04-01 -0.7325601096683760 1992-07-01 -0.8929173309041220 1992-10-01 -1.1220138557095100 1993-01-01 -0.8759076494472600 1993-04-01 -1.2111397446409700 1993-07-01 -1.2341473306103500 1993-10-01 -1.5958366511204600 1994-01-01 -1.4002214032481800 1994-04-01 -1.5724229002173400 1994-07-01 -1.7196251513131900 1994-10-01 -1.9497906830553600 1995-01-01 -1.6664148542801500 1995-04-01 -1.6838091230653900 1995-07-01 -1.4002205930059000 1995-10-01 -1.1871017372908500 1996-01-01 -1.3905816472615300 1996-04-01 -1.4806177510388900 1996-07-01 -1.7677656575560700 1996-10-01 -1.5172979691327500 1997-01-01 -1.7176182144940000 1997-04-01 -1.3469755259065200 1997-07-01 -1.5056490025081100 1997-10-01 -1.9628824687368400 1998-01-01 -1.9799993250615900 1998-04-01 -2.2835225188166400 1998-07-01 -2.5753676269611300 1998-10-01 -2.6088765454603900 1999-01-01 -2.6819235532597300 1999-04-01 -2.9872554148791500 1999-07-01 -3.3276978676523600 1999-10-01 -3.4358307895346600 2000-01-01 -3.9334463164191000 2000-04-01 -3.8752712024362000 2000-07-01 -4.1645586730260500 2000-10-01 -4.2117204434555900 2001-01-01 -4.0856482142347300 2001-04-01 -3.6485937734997700 2001-07-01 -3.9295455613515700 2001-10-01 -3.2818816405483400 2002-01-01 -3.8365207118068400 2002-04-01 -4.2200314591945000 2002-07-01 -4.1933478902972700 2002-10-01 -4.4241430861506900 2003-01-01 -4.7949350406496800 2003-04-01 -4.5534575707740100 2003-07-01 -4.4500950529457800 2003-10-01 -4.2404711935549400 2004-01-01 -4.5609088785826300 2004-04-01 -5.1138292807066500 2004-07-01 -5.1234425155849500 2004-10-01 -5.6833038798936500 2005-01-01 -5.2823462387912900 2005-04-01 -5.4994797326982200 2005-07-01 -5.5891377769700300 2005-10-01 -6.2080767621211200 2006-01-01 -5.7499139124764600 2006-04-01 -5.8068377802576800 2006-07-01 -6.1689182873782200 2006-10-01 -5.3302621850651200 2007-01-01 -5.5805019250765800 2007-04-01 -5.2226898622272400 2007-07-01 -4.6410289848109400 2007-10-01 -4.2890509557176200 2008-01-01 -4.8957486842464100 2008-04-01 -4.7683251198271800 2008-07-01 -4.7103146264232300 2008-10-01 -4.1358359851270400 2009-01-01 -2.6761309519671300 2009-04-01 -2.4602103149145100 2009-07-01 -2.6072121300602700 2009-10-01 -2.8407373082071900 2010-01-01 -2.9805668512577400 2010-04-01 -3.0992034173797400 2010-07-01 -3.2008075602515700 2010-10-01 -2.7374033170936700 2011-01-01 -3.0618175136497300 2011-04-01 -3.0762245406153600 2011-07-01 -2.7106004324088500 2011-10-01 -2.9534820370851400 2012-01-01 -3.0292858709616800 2012-04-01 -2.7465687462332300 2012-07-01 -2.6244429555778200 2012-10-01 -2.5059237716210000 2013-01-01 -2.5461751018033700 2013-04-01 -2.3286319437758700 2013-07-01 -2.2845729390776600 2013-10-01 -1.8999080704754000
첫댓글 시계열 데이터의 경우 어떤 모형으로 접근하느냐가 가장 관건이 아닐까 합니다.
기본적인 이분산성을 해결하는 방법은 변환입니다. box-cox 변환으로 진행해서 정규성을 확인해 본 후,
자기상관이 있는지 없는지 판단하면 기본적인 모형식은 도출해 볼 수 있을 듯 합니다.