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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=The Forecast Performance of Time Series Models on Taiwan's Industries |
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作者 | 吳易樺; 黃朝熙; 劉子衙; Wu, Yi-hua; Huang, Chao-hsi; Liu, Tzu-yar; |
期刊 | 應用經濟論叢 |
出版日期 | 20141200 |
卷期 | 96 2014.12[民103.12] |
頁次 | 頁35-68 |
分類號 | 555.4 |
語文 | chi |
關鍵詞 | 產業成長預測; 預測誤差比較; Industrial forecast; Forecast comparison; AR; VAR; Factor model; |
中文摘要 | 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。 |
英文摘要 | 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. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。