This study examines the determinants and forecasting performance on a model of seaborne trading volume using monthly data from January 1994 to December 2014. Integer and fractional cointegration techniques are used for testing the long-run relationship. The cointegrating equilibrium equation is estimated using recently developed econometric methodologies: CCR, FMOLS, and DOLS. The out-of-sample forecasting indicates that trading volume forecasts from the VECM may be superior to random-walk based forecasts.
목차
Abstract Ⅰ. Introduction Ⅱ. Model Specification and Cointegration Ⅲ. Estimation Ⅳ. Conclusions References 요약
키워드
seaborne trading volumeCCRGPHVECMforecasting
저자
Chang-Beom Kim [ Research Professor, The Center for Regional Development, Chonnam National University ]