Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models
Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models
复制标题
DOI：
10.1002/jae.3950040508
复制
发表时间：
1989-12
影响因子：
2.1
通讯作者：
C. Granger;Tae-Hwy Lee
中科院分区：
文献类型：
--
作者：
C. Granger;Tae-Hwy Lee
平稳序列的累加和称为积分。如果某些被积序列的线性组合是平稳的，则称之为协整的。本文提出了库存的实证结果，以考虑一种更深层次的协整形式的可能性，称为多元协整，这是在格兰杰和李（1989）介绍。一个向量积分序列是多重协整的，如果它的平稳（协整）线性组合的累加和再次与自身协整。库存是生产减去销售的累积总和，可能与生产和销售协整。实证结果普遍支持在美国的许多行业和工业总量的生产和销售的多元协整。结果也有利于非对称误差校正模型，提供证据表明，吸引力的强度是不同的两侧的吸引。在非对称误差修正模型下研究了一种改进的（S，s）库存控制规则，结果一般不支持（S，s）规则.有足够的证据表明，多元协整是一个有用的概念，在该地区的库存确定。
The accumulated sum of a stationary series is called integrated. If a linear combination of some of the integrated series is stationary, it is said to be cointegrated. This paper presents empirical results on inventories to consider the possibility of a deeper form of cointegration called multicointegration, which is introduced in Granger and Lee (1989). A vector integrated series is multicointegrated if the accumulated sum of its stationary (cointegrated) linear combination is again cointegrated with itself. Inventory, which is the accumulated sum of production minus sales, is probably cointegrated with production and sales. The empirical results generally support the presence of multicointegration of production and sales in many U.S. industries and industrial aggregates. The results also favour the non-symmetric error correction model, providing evidence that the strength of attraction is different on both sides of the attractor. A modified (S, s) rule for inventory control is investigated in the context of a non-symmetric error correction model, and the results generally do not support the (S, s) rule. Sufficient evidence is found to conclude that multicointegration is a useful concept in the area of inventory determination.