本文以Stock and Watson(工998)的方法為基礎,建立一個兩步驟的「擴散指標」預測模型,並應用於經濟成長率的預測。除了依循Stock and Watson(工998)的作法外,我們也將變數依其特性區分為商品市場變數,貨幣市場變數與勞動市場變數,再分...
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本文以Stock and Watson(工998)的方法為基礎,建立一個兩步驟的「擴散指標」預測模型,並應用於經濟成長率的預測。除了依循Stock and Watson(工998)的作法外,我們也將變數依其特性區分為商品市場變數,貨幣市場變數與勞動市場變數,再分別針對各市場變數估計其擴散指標,然後根據這些指標進行預測。實證結果顯示,「擴散指標」預測模型具有相當好的預測績效,也優於國內一些經濟單位所作的預測,因此可以作為未來總體經濟預測上的另一種選擇。
1 Introduction It is now common to employ various time series models to analyze the dynamic behavior of economic and financial variables. The leading choices are linear models, such as autoregressive (AR) models, movi...
1 Introduction It is now common to employ various time series models to analyze the dynamic behavior of economic and financial variables. The leading choices are linear models, such as autoregressive (AR) models, moving average (MA) models, and mixed ARMA models.
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