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題 名 | 臺灣生鮮鮪魚產地拍賣價格與日本進口價格:向量ARMA模型之預測分析=Forcasting Analysis of the Fresh Tuna Prices in Taiwan and the Import Prices in Japan: An Application of Vector ARMA Model |
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作 者 | 孫金華; 王偉聰; | 書刊名 | 農業經濟半年刊 |
卷 期 | 66 1999.12[民88.12] |
頁 次 | 頁49-84 |
分類號 | 439.1 |
關鍵詞 | 生鮮鮪魚生魚片市場; 拍賣價格; 通關價格; 單根檢定; 向量ARMA模型; Fresh tuna sashimi market; Auction prices; Import custom prices; ADF unit root test; Vector ARMA model; |
語 文 | 中文(Chinese) |
中文摘要 | 1997年台灣生鮮黃鰭鮪及大目鮪拍賣市場以屏東東港漁市場拍賣量佔台灣生鮮鮪 魚總拍賣量的86.6%為最大,且以空運出口至日本中央市場供給生鮮鮪魚生魚片市場為主。 因此本文深入探討台灣及日本生鮮鮪魚市場概況,因東港產地拍賣價格與輸日通關價格皆拒 絕單根存在,本文建立並估計單變量及向量ARMA模型,並考慮季節調整等共九個時間數 列模型,模擬日本及屏東東港漁市場不同生鮮鮪魚種別價格,評估具有最佳模擬及預測能力 之時間數列模型。結果顯示完整參數多變量模型各價格變數之誤差變異數分別較單變量模型 及限制參數模型皆來得小,而若加入季節調整模式雖配適度較高,但未必能降低誤差變異數。 模型模擬預測則以單變量模型的均方根百分比誤差值值相對其他模型皆較小,但若以轉折點 錯誤百分比衡量預測能力,則輸日黃鰭鮪、大目鮪進口價格以多變量限制參數模型較佳。 |
英文摘要 | Fish wholesale market in Ping-Tung County is the major auction market for fresh yellowfin and bigeye tuna, which count as 86.6% in total auction quantities in Taiwan in 1997. In addition, most of the fresh tunas for auction in Pint-Tung County exported via airtight container to Japan for fresh tuna sashimi consumption. This paper discusses the market structure and the relationship between the fresh tuna markets in Ping-Tung County and Japan. The test results in this paper reject the null hypothesis of ADF unit root test of the auction prices in Ping-Tung County and the import custom prices in Japan for both tuna species. This paper establishes 9 time series models including univariate and multivariate ARMA with seasonal adjustment factor models. Estimation results show that the full model of multivariate ARMA model provide the most efficient estimate of the variance of three relative price variables than both the univariate and restricted multivariate models. The univeriate ARMA models show the smallest root-mean-square percentage error, however the restricted multivariate ARMA models show the smallest turning point percentage error for the Yellowknife and bigeye import custom prices the Japan. |
本系統中英文摘要資訊取自各篇刊載內容。