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題名:時間序列模型對我國產業成長預測之優劣比較
書刊名:應用經濟論叢
作者:吳易樺黃朝熙 引用關係劉子衙
作者(外文):Wu, Yi-huaHuang, Chao-hsiLiu, Tzu-yar
出版日期:2014
卷期:96
頁次:頁35-68
主題關鍵詞:產業成長預測預測誤差比較Industrial forecastForecast comparisonARVARFactor 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:56
  • 點閱點閱:164
本研究使用要素模型 (factor model) 預測我國產業GDP 成長趨勢,並與傳統時間序 列模型比較何者具有預測優勢。要素模型利用主成份分析法 (principle component analysis),從眾多資訊萃取要素來代表複雜的經濟體系。我們發現要素模型比傳統自我迴 歸 (autoregressive, AR) 模型與向量自我迴歸 (vector autoregressive, VAR) 模型更具產業 成長預測優勢,其中大幅改善製造業之成長預測準確度。我們採取不同模型設定方式, 發現要素模型仍具有產業成長預測優勢。
This paper compares the forecast performances between the factor and conventional time series models for Taiwan’s industries. The factor model adopts the principle component analysis, generating factors from abundant information to represent the complicated economy. We find that the factor model has forecasting advantages over the autoregressive and vector autoregressive models. The factor model, in particular, greatly improves the forecasting performance on Taiwan’s manufacturing sector relative to conventional models. These results are robust to alternative model specifications.
期刊論文
1.陳宜廷、徐士勛、劉瑞文、莊額嘉(20110300)。經濟成長率預測之評估與更新。經濟論文叢刊,39(1),1-44。new window  延伸查詢new window
2.Ho, T. K.、Yeh, K. C.(2010)。Measuring Monetary Policy in a Small Open Economy with Managed Exchange Rates: The Case of Taiwan。Southern Economic Journal,76(3),811-826。  new window
3.Sims, Christopher A.(1992)。Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy。European Economic Review,36(5),975-1000。  new window
4.吳再益、葛復光、黃宗煌、謝智宸、曾禹傑、楊晴雯、林忠漢(20101200)。工業、運輸、住宅及服務業部門能源服務需求長期預測。臺灣銀行季刊,61(4),133-176。new window  延伸查詢new window
5.黃朝熙(20070300)。臺灣通貨膨脹預測。中央銀行季刊,29(1),5-29。new window  延伸查詢new window
6.Forni, M.、Reichlin, L.(2001)。Federal Policies and Local Economies: Europe and the US。European Economic Review,45,109-134。  new window
7.Forni, M.、Hallin, M.、Lippi, M.、Reichlin, L.(2001)。Coincident and Leading Indicators for the Euro Area。The Economic Journal,111,62-85。  new window
8.Marcellino, Massimiliano、Stock, James H.、Watson, Mark W.(2003)。Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information。European Economic Review,47(1),1-18。  new window
9.Schumacher, C.(2007)。Forecasting German GDP Using Alternative Factor Models Based on Large Datasets。Journal of Forecasting,26,271-302。  new window
10.Bernanke, B. S.、Boivin, J.、Eliasz, P. S.(2005)。Measuring the Effects of Monetary Policy: A Factor-augmented Vector Autoregressive (FAVAR) Approach。The Quarterly Journal of Economics,120,387-422。  new window
11.Boivin, J.、Ng, S.(2005)。Understanding and Comparing Factor-based Forecasts。International Journal of Central Banking,1,117-152。  new window
12.Del Negro, Macro、Schorfheide, Frank(2004)。Priors from General Equilibrium Models for VARs。International Economic Review,45(2),643-673。  new window
13.Schorfheide, F.、Sill, K.、Kryshko, M.(2010)。DSGE Model-based Forecasting of Non-modelled Variables。International Journal of Forecasting,26(2),348-373。  new window
14.徐世勳、林國榮、蘇漢邦、林桓聖、李篤華(20060300)。臺灣產業結構變動之動態一般均衡預測。臺灣經濟預測與政策,36(2),1-46。new window  延伸查詢new window
15.Bai, Jushan、Ng, Serena(2002)。Determining the Number of Factors in Approximate Factor Models。Journal of the Econometric Society,70(1),191-221。  new window
16.Stock, J. H.、Watson, M. W.(2002)。Macroeconomic Forecasting Using Diffusion Indexes。Journal of Business & Economic Statistics,20(2),147-162。  new window
17.徐士勛、管中閔、羅雅惠(20051000)。以擴散指標為基礎之總體經濟預測。臺灣經濟預測與政策,36(1),1-28。new window  延伸查詢new window
18.Breitung, J.、Schumacher, C.(2008)。Real-time forecasting of German GDP based on a large factor model with monthly and quarterly data。International Journal of Forecasting,24(3),386-398。  new window
19.Sims, Christopher A.(1980)。Macroeconomics and Reality。Econometrica: Journal of the Econometric Society,48(1),1-48。  new window
20.Teo, Wing-Leong(2009)。Estimated dynamic stochastic general equilibrium model of the Taiwanese economy。Pacific Economic Review,14(2),194-231。  new window
21.王泓仁(20050300)。臺幣匯率對我國經濟金融活動之影響。中央銀行季刊,27(1),13-45。new window  延伸查詢new window
研究報告
1.臺灣電力股份有限公司(2012)。未來電力供需分析與規劃研究。  延伸查詢new window
圖書
1.陳彥豪(2011)。我國電子電機產業未來之3E評估。臺灣經濟研究院。  延伸查詢new window
2.Stock, J. H.、Watson, M. W.(1998)。Diffusion Indexes。  new window
其他
1.行政院(200904)。綠色能源產業旭升方案,http : "www.ev.gov.tw/ct.asD?xItem=64405&ctNode=2907, 2010/10/01。  new window
 
 
 
 
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