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題名：Estimating Taiwan's Monthly GDP in an Exact Kalman Filter Framework: A Research Note
書刊名：經濟論文叢刊
作者：黃裕烈 引用關係
作者(外文)：Huang, Yu-lieh
出版日期：2010
卷期：38:1
頁次：頁147-160
主題關鍵詞：Interpolation；Kalman filter；Temporal disaggregation；State-space model；國內生產毛值；狀態空間計量模型
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(3) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:3
  • 共同引用共同引用:33
  • 點閱點閱:55
國內生產毛值(Gross Domestic Product, GDP)是建構景氣基準循環時一個最主要的參考依據。由於GDP數列本身爲季資料，因此進行總體模型分析時必需要將季資料轉換成月資料以符合計算上的需求。本研究主要目的是依據狀態空間(state-space)計量模型，嘗試重新建構適當的GDP月資料指標以供政府經濟決策之參考。從計量經濟的角度來看，此一模型的優點在於其能包含文獻上常用的其它模型，並且放寬即有共整合的假設，以建構出適當的GDP月資料指標。若從實證結果來看，本研究所估計出的GDP月指標與GDP季資料有許多相似的特徵。故我們相信，利用此模型所建構出的月指標確實可以提供政府短期經濟決策時之參考。
In this paper, we describe a framework that nests a wide range of interpolation/distribution setups but relaxes the co-integration condition of temporal disaggregation that has been reported in the literature. Our goal is to evaluate alternative interpolation/distribution models and then generate the monthly deseasonalized real gross domestic product of Taiwan. Our empirical results show that the monthly estimates, incorporated in the information obtained from the industrial production index, are highly consistent with quarterly figures. These estimates should be invaluable to researchers and practitioners for short-run policy analysis in that they signal any emerging economic problems.
期刊論文
1.Koopman, S. J.(1997)。“Exact initial Kalman filtering and smoothing fornon-stationary time series models”。Journal of the American Statistical Association，92，1630–1638。  new window
2.De Jong, P.(1991)。The diffuse Kalman filter。Annals of Statistics，19(2)，1073-1083。  new window
3.Kalman, R.、Bucy, R.(1961)。New results in linear filtering and prediction theory。Transactions of the American Society of Mechanical Engineers，83，95-108。  new window
4.Reinsel, G. C.、Ahn, S. K.(1992)。Vector Autoregressive Models with Unit Roots and Reduced Rank Structure: Estimation, Likelihood Ratio Test, and Forecasting。Journal of Time Series Analysis，13，353-375。  new window
5.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica，50(4)，987-1008。  new window
6.林向愷、黃裕烈、管中閔(19981200)。景氣循環轉折點認定與經濟成長率預測。經濟論文叢刊，26(4)，431-457。new window  延伸查詢new window
7.Ljung, Greta M.、Box, George E. P.(1978)。On a Measure of Lack of Fit in Time Series Models。Biometrika，65(2)，297-303。  new window
8.Boot, J. C. G., Feibes, W., and Lisman, J. H. C. Lisman(1967)。“Furthermethods of derivation of quarterly figures from annual data”。Applied Statistics，16，65–75。  new window
9.Chow, G. C. and Lin, A. L.(1971)。“Best linear unbiased interpolation,distribution and extrapolation of time series by related series”。Review of Economics and Statistics，53，372–375。  new window
10.De Alba, E.(1988)。“Disaggregation and forecasting: A Bayesian analysis”。Journal of Business and Economic Statistics，6，197–206。  new window
11.Fern’andez R.(1981)。“A methodological note on the estimation of timeseries”。Review of Economics and Statistics，63，471–478。  new window
12.Fitzgerald, R. J.(1971)。“Divergence of the Kalman filter”。IEEE Transactionson Automatic Control，AC - 16，736–747。  new window
13.Friedman, M.(1962)。“The interpolation of time series by related series”。Journal of the American Statistical Association，57，729–757。  new window
14.Harvey, A. C. and Phillips, G. D. A.(1979)。“The estimation of regressionmodels with autoregressive-moving average disturbances”。Biometrika，66，49–58。  new window
15.Koopman, S. J. and Durbin, J.(2003)。“Filtering and smoothing of statevector for diffuse state-space models”。Journal of Time Series Analysis，24，85–98。  new window
16.Lin, J. L. and Tsay, R. S.(1996)。“Co-integration constraint and forecasting:An empirical examination”。Journal of Applied Econometrics，11，519–538。  new window
17.Litterman, R. B.(1983)。“A random walkMarkov model for the distributionof time series”。Journal of Business and Economic Statistics，169–173。  new window
18.Proietti, T.(2006)。“Temporal disaggregation by state-space methods: Dynamicregression methods revisited”。Econometrics Journal，357–372。  new window
19.Wei, W. W. S. and Stram, D. O.(1990)。“Disaggregation of time seriesmodels”。Journal of the Royal Statistical Society Series B，52，453–467。  new window
20.Fitzgerald, R. J.(1971)。Divergence of the Kalman filter。IEEE Transactions on Automatic Control，AC-16，736-747。  new window
21.Friedman, M.(1962)。The interpolation of time series by related series。Journal of the American，57，729-757。  new window
22.Harvey, A. C.、Phillips, G. D. A.(1979)。The estimation of regression models with autoregressive-moving average disturbances。Biometrika，66，49-58。  new window
23.Boot, J. C. G.、Feibes, W.、Lisman, J. H. C. Lisman(1967)。'Further methods of derivation of quarterly figures from annual data。Applied Statistics，16，65-75。  new window
24.Chow, G. C.、Lin, A. L.(1971)。Best linear unbiased interpolation, distribution and extrapolation of time series by related series。Review of Economics and Statistics，53，372-375。  new window
25.De Alba, E.(1988)。Disaggregation and forecasting: A Bayesian analysis。Journal of Business and Economic Statistics，6，197-206。  new window
26.Ferández, R.(1981)。A methodological note on the estimation of time series。Review of Economics and Statistics，63，471-478。  new window
27.Koopman, S. J.、Durbin, J.(2003)。Filtering and smoothing of state vector for diffuse state-space models。Journal of Time Series Analysis，24，85-98。  new window
28.Lin, J. L.、Tsay, R. S.(1996)。Co-integration constraint and forecasting: An empirical examination。Journal of Applied Econometrics，11，519-538。  new window
29.Litterman, R. B.(1983)。A random walk Markov model for distribution of time series。Journal of Business and Economic Statistics，1，169-173。  new window
30.Proietti, T.(2006)。Temporal disaggregation by state-space methods: Dynamic regression methods revisited。Econometrics Journal，9，357-372。  new window
31.Wei, W. W. S.、Stram, D. O.(1990)。Disaggregation of time series models。Journal of the Royal Statistical Society Series B，52，453-467。  new window
研究報告
1.Bry, G.、Boschan, C.(1971)。Cyclical Analysis of Time Series : Selected Procedures and Computer Program。New York, NY：Columbia University Press。  new window
圖書
1.Eurostat(1999)。Handbook on Quarterly National Accounts。Handbook on Quarterly National Accounts。Luxembourg：Office for Official Publications of the European Communities。  new window
2.Harvey, A. C.(1989)。Forecasting, Structural Time Series Models and the Kalman Filter。Cambridge：Cambridge University Press。  new window
3.Kim, C. J.、Nelson, C. R.(1999)。State-space models with regime switching: classical and gibbs sampling approaches with applications。MIT Press。  new window
4.Harvey, A. C. and Koopman, S. J.(1997)。“Multivariate structural time seriesmodels”。System Dynamics in Economic and Financial Models。Chichester。  new window
5.Harvey, A. C.(1989)。Forecasting, Structural Time Series and the Kalmane Filter。Cambridge。  new window
6.Harvey, A. C.、Koopman, S. J.(1997)。Multivariate structural time series model。System Dynamic in Economic and Financial Models。Chichester。  new window
 
 
 
 
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