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題名 | Comparing the Forecasting Performance by Using Power Transformation in VAR and Bayesian VAR Models |
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作者姓名(外文) | Wang, Chi Hsiu; Hsu, Po Hsuan; Chien, Yi Wei; | 書刊名 | Academy of Taiwan Business Management Review |
卷期 | 4:1 2008.04[民97.04] |
頁次 | 頁51-59 |
分類號 | 551.9 551.9 |
關鍵詞 | |
語文 | 英文(English) |
英文摘要 | 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. |
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