선도추급과정을 이용한 새로운 예측기법: 장기전력수요예측에의 응용
A Novel Forecasting Procedure Based on Gap and Catch-up: Case of the Long-run Forecast of Electricity Demand in Korea
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초록
본 논문은 비선형 예측모형에서 예측의 정확도를 높이기 위한 방법으로 선도추급(先導追及; Gap and Catch-up) 과정을 제시하고 이를 한국의 장기전력수요예측에 적용한 실증분석 결과를 보여준다. 선도추급과정은 후발국가가 경제적 발전단계에서 앞선 선도국가의 성장패턴을 추급한다는 가설을 예측에 적용한 것으로,본 논문에서는 선도국가의 전력수요에 대한 소득탄력성 변화패턴을 후발국가가추급한다는 가설을 시간변동계수를 갖는 공적분회귀식을 이용한 전력수요예측모형에 적용하여 예측력을 높인 실증분석 결과를 보여준다. 장기전력수요예측에서한국이 일본 전력수요의 소득탄력성 변화패턴을 추급한다는 선도추급과정을 적용한 결과가 기존 예측모형에 비하여 우월한 예측력을 보였으며, 특히 선도 및 추급기간에 대한 모의실험에서 한국의 추급기간이 일본의 선도기간을 단축시키는가설을 적용할 경우 최적 예측치를 얻을 수 있었다. 또한 용도별 전력수요의 소득탄력성 변화패턴 수렴에 관한 실증분석 결과가 경제성장이론에 나타난 산업별 생산성 수렴현상 결과와 일치함을 알 수 있었다.
Abstract
This paper proposes a novel approach to improve accuracy in long-term forecasts based on nonlinear models, and provides an empirical analysis of long-run electricity demand forecast for Korea. Our approach is based on the notions of catch up and convergence, which exploits the fact that various economic characteristics of developing countries evolve following closely with some time lags the historial patterns of corresponding characteristics of developed countries. To forecast electricity demands in developing countries,for instance, we may therefore utilize the historical patterns of the determinants of electricity demands in developed countries. In particular, we find that the time series of income elasticity of electricity demand in Korea evolves in the same pattern as that of electricity demand in Japan. The patterns are extracted using cointegrating regressions with time-varying coefficients, and the actual gap and catch-up periods are determined to maximize the performance of our forecasting model. Our procedure is shown to perform substantially better than other models that are commonly used in long-term forecasts. In particular the optimal forecasts are obtained under the assumption that Korea’s catch-up period is shorter than the gap period between Korea and Japan. Our empirical results are also consistent with those done by the studies of the convergence of productivity.
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