인과관계검정에서의 편의와 해결방법: 관광수요 추정에의 응용
Time-specific Effects and a Bias in the Causality Test with an Application to Tourism Demand
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초록
인과관계의 검정에는 시계열자료가 사용되는데, 모든 시계열변수는 매 시점마다 생기는 변화의 영향, 즉 시점고유효과(time-specific effects)를 포함하고 있다. 그러나 시점고유효과가 항상 인과관계를 형성하는 것은 아니고, 일시적인 시점고유효과에 의한 원인변수의 변화에는 결과변수가 반응하지 않을 수도 있다. 본 연구의 목적은 인과관계와 무관한 일시적 시점고유효과가 편의(bias)를 발생시킬 수 있다는 점을 지적하고, 이를 해결할 수 있는 추정방법을 제안하는 것이다. 인과관계와 무관한 시점고유효과를 측정오차(measurement error)로 해석하여, 이로 인한 내생성문제를 해결하기 위하여 도구변수(instrumental variable)를 사용한다. 이를 한국을 방문하는 일본인 관광수요모형에 적용하여, 일시적 시점고유효과의 조정이 필요하다는 것을 강조한다.
Abstract
Most time series variables contain time-specific effects which are caused by changes in each time period. However, the time-specific effects do not always lead to causal relations. If any change is temporary, its effects on the causal relation will be insignificant. The purpose of this study is to point out that temporary time-specific effects can cause a bias in the causality test and to suggest an instrumental-variable method for estimation and causality test. Treating the temporary time-specific effects as measurement errors, we solve the bias problem by using appropriate instrumental variables. We apply this method to a tourism demand model for Japanese tourists to Korea.
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