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題名：當期景氣衰退指標可否作為門檻變數？樣本外預測檢定之應用
書刊名：經濟研究. 臺北大學經濟學系
作者：李源明 引用關係／黃柏農 引用關係／王冠閔
作者(外文)：Lee, Yuan-ming／Huang, Bwo-nung／Wang, Kuan-min
出版日期：2009
卷期：45:2
頁次：頁189-235
主題關鍵詞：當期景氣衰退指標；景氣循環；樣本外預測；門檻模型；Current depth of recession；Business cycle；Out-of-sample forecasting；Threshold model
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
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  • 共同引用共同引用:44
  • 點閱點閱:72
本文修改當期景氣衰退指標 (current depth of recession, CDR)，重建CDR在景氣擴張期的資料，再由門檻模型 (threshold model) 的估計，調整正、負值範圍，消除景氣區分由外生決定的缺點。本文以7大工業國、香港、馬來西亞、菲律賓、南韓以及台灣等國家，自1959年至2005年的季資料爲樣本，分別建構以CDR、修正CDR (modified CDR, MCDR) 爲門檻變數的門檻模型，進行樣本外預測效能的比較，評估2種門檻模型樣本外預測的效能。實證結果發現，MCDR的預測效能比CDR爲佳，適合納入門檻模型作爲門檻變數。
This study aims to modifies the Current Depth of Recession (CDR) for proving that the modified CDR (MCDR) is more suitable to be threshold variable than the CDR. We first rebuild the CDR data in the expansion period, and then adjust the positive and negative range of the CDR based on the estimation of threshold model. The quarterly data of 12 countries including G-7 countries, Hong Kong, Malaysia, Phillip, South Korea and Taiwan over 1959-2005 are used to construct two types of TAR models which adopt the CDR and the MCDR as threshold variables. To examine the efficiency of out-of-sample forecast, we find that MCDR is more proper for being the threshold variable than CDR.
期刊論文
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9.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
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27.Hamilton, James D.、Lin, Gang。Stock Market Volatility and the Business Cycle。Journal of Applied Economics，11(5)，573-593。  new window
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會議論文
1.Akaike, H.(1973)。Information Theory and an Extension of the Maximum Likelihood Principle。The Second International Symposium on Information Theory。Budapest：Akademiai Kiado。267-281。  new window
圖書
1.Delong, J. B.、Summers, L. H.。Are Business Cycles Symmetrical?。The American Business Cycle: Continuity and Change。Chicago, IL。  new window
圖書論文
1.Tong, Howell(1978)。On a Threshold Model。Pattern Recognition and Signal Processing。Sijthoff & Noordhoff。  new window
 
 
 
 
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