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題名：Comparing the Forecasting Performance by Using Power Transformation in VAR and Bayesian VAR Models
書刊名：Academy of Taiwan Business Management Review
作者：Wang, Chi Hsiu／hsu, po hsuan 引用關係／Chien, Yi Wei
出版日期：2008
卷期：4:1
頁次：頁51-59
原始連結：連回原系統網址new window
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This article is devoted to examine the performance of power transformation in VAR and Bayesian VAR (BVAR) forecasts, in comparison with log-transformation. The effect of power transformation in multivariate time series model forecasts is still untouched in the literature. We examined the U.S. macroeconomic data from 1960 to 1987 and the Taiwan’s technology industrial production from 1990 to 2000. Our results showed that the power transformation provides outperforming forecasts in both VAR and BVAR models. Moreover, the non-informative prior BAVR with power transformation is the best predictive model and is recommendable to forecasting practice.
期刊論文
1.Nelson, H. L.、Granger, C. W. J.(1979)。Experience with using the Box-Cox transformation when forecasting economic time series。Journal of Econometrics，10，57-69。  new window
2.Hopwood, W. S.、McKeown, J. C.、Newbold, P.(1984)。Time series forecasting models involving power transformation。J. Forecast，3，57-61。  new window
3.Nazmi, N.、Leuthold, J. H.(1988)。Forecasting economic time series that require a power transformation: Case of state tax receipts。J. Forecast，7，173-184。  new window
4.Lee, J. C.、Tsao, S. L.(1993)。On estimation and prediction procedures for AR(1) models with power transformation。J. Forecast，13，499-511。  new window
5.Guerrero, V. M.(1993)。Time-series analysis supported by power transformations。Journal of forecasting，12，37-48。  new window
6.Chen, C. W. S.、Lee, J. C.(1997)。On selecting a power transformation in time-series analysis。Journal of Forecasting，16，343-354。  new window
7.McKenzie, M. D.(1999)。Power transformation and forecasting the magnitude of exchange rate changes。Int. J. Forecast，15，49-55。  new window
8.Litterman, R. B.(1985)。How monetary policy in 1985 affects the outlook, Quarterly Review。Federal Reserve Bank of Minneapolis，9(4)，2-14。  new window
9.Litterman, Robert B.(1986)。Forecasting with Bayesian vector autoregressions-Five years of experience。Journal of Business and Economic Statistics，4(1)，25-38。  new window
10.Lee, J. C.、Lu, K. W.(1989)。Algorithm and practice of forecasting technological substitutions with data-based transformed models。Technol. Forecast. Soc. Change，36，401-414。  new window
11.Arino, M. A.、Franses, P. H.(2000)。Forecasting the levels of vector autoregressive log-transformed time series。Int. J. Forecast，16，111-116。  new window
12.Hsu, Po-Hsuan、Wang, Chi-Hsiu、Shyu, Joseph Z.、Yu, Hsiao-Cheng(2003)。A Litterman BVAR approach for production forecasting of technology industries。Technological Forecasting and Social Changes，70(1)，67-82。  new window
13.Granger, C. W. J.、Newbold, P.(1976)。Forecasting Transformed Series。Journal of the Royal Statistical Society. Series B (Methodological)，38，189-203。  new window
14.Doan, Thomas、Litterman, Robert B.、Sims, Christopher A.(1984)。Forecasting and Conditional Projection Using Realistic Prior Distributions。Econometric Reviews，3(1)，1-100。  new window
15.Sims, Christopher A.(1980)。Macroeconomics and Reality。Econometrica: Journal of the Econometric Society，48(1)，1-48。  new window
16.Box, G. E. P.、Cox, D. R.(1964)。An analysis of transformations。Journal of the Royal Statistical Society: Series B，26(2)，211-252。  new window
研究報告
1.Lee, J. C.、Hsu, P. H.、Wang, C. H.(2000)。Production forecasting for technology industries: A Bayesian vector autoregression (BVAR) model based on industrial clusters。Institute of Statistics, National Chiao Tung University。  new window
圖書
1.Doan, T.(1992)。RATS User's Manual。Evanston, IL：Estima。  new window
2.Box, G. E. and Jenkins, G. M.(1994)。Time Series Analysis (Third Edition)。Prentice Hall。  new window
3.Newbold, P.、Granger, C. W. J.(1986)。Forecasting Economic Time Series。Academic Press。  new window
4.Enders, Walter(1995)。Applied Econometric Time Series。John Wiley & Sons, Inc.。  new window
 
 
 
 
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