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研究生:張雅涵
研究生(外文):Chang,Yahan
論文名稱:以動態因子模型預測台灣總體經濟變數
論文名稱(外文):A Dynamic Factor Model for Forecasting Macroeconomic Variables in Taiwan
指導教授:陳俊志陳俊志引用關係
指導教授(外文):Chen,Chunchih
口試委員:劉彩卿汪志勇
口試委員(外文):Liu,TsaichingWang,Chihyung
口試日期:2012-05-24
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:經濟學系
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:84
中文關鍵詞:擴散指標動態因子模型預測主成份分析
外文關鍵詞:Diffusion indexDynamic factor modelForecastingPrincipal components
相關次數:
  • 被引用被引用:0
  • 點閱點閱:475
  • 評分評分:
  • 下載下載:74
  • 收藏至我的研究室書目清單書目收藏:2
本研究藉由Stock and Watson(2002) 的動態因子模型 (dynamic factor model) 以預測台灣的實質經濟活動及通貨膨脹,並比較動態因子模型、AR模型以及VAR模型對台灣總體經濟變數之預測能力是否有所差異。以台灣及中國總體經濟變數為研究對象,分析比較加入中國總體經濟變數後是否有較佳之預測效果。將資料型態分為指數資料和年增率資料,並檢定是否因不同之資料型態而產生不同之預測表現。蒐集790筆台灣及中國總體經濟變數,研究樣本為2001年1月至2010年12月的月資料,以2001年至2007年來建立預測模型,再以2008年至2010年來檢視模型的預測準確性。採用Harvey et al. (1997) 所提出之修正Diebold-Mariano檢定來評估預測準確性。結果顯示,利用動態因子模型預測台灣實質經濟活動和通貨膨脹僅有少數情況會顯著優於AR模型以及VAR模型。若模型中加入中國總體經濟變數,反而獲得較差之預測效果。表示加入中國總體經濟變數,無法得到較佳之預測表現,至於資料的運用上,本研究發現在短期的預測下,利用年增率資料之預測效果會優於指數資料。
This research will estimate Taiwan’s real economy activity and inflation rate by using Stock and Watson’s (2002) dynamic factor model. The further research will compare the difference between the estimating ability of dynamic factor model, of AR model and of VAR model when predicting the Taiwan’s macroeconomic variables. In the end, by studying Taiwan and China’s macroeconomic variables, this research will try to identify if including China’s macroeconomic variables will lead to better predicting result. The research will classify data into two categories, index data and annual growth rate data, and to test if different types of data will lead to different predicting result. The data will include 790 observations from Taiwan and China’s macroeconomic variables since 2001 to 2010. The research will establish the model based on data from 2001 to 2007 and use data from 2008 to 2010 to examine the accuracy of model. Using modified Diebold-Mariano test from Harvey et al (1997) to evaluate the model’s precision. According to the result, using dynamic factor model to estimate Taiwan’s real economy activity and inflation rate has powerful explanation than using AR model and VAR model under certain circumstance. If we consider China’s macroeconomic variables inside the model, we will get poorer estimating outcome. In other words, China’s macroeconomic variables will not provide better forecasting capability when we include them inside the model. For the data usage, this research find out that using annual growth rate has better estimating ability than index data in the short-term studying period.
目錄
表目錄 I
圖目錄 II
第一章 緒論 1
第一節 研究背景及動機 1
第二節 研究目的 2
第三節 研究架構 2
第二章 文獻回顧 3
第三章 模型的建立 11
第一節 單變量自我迴歸預測模型 11
第二節 向量自我迴歸預測模型 11
第三節 動態因子模型的估計及預測 12
第四節 因子數及落後期的選擇 14
第五節 Modified Diebold-Mariano 檢定 15
第四章 研究方法及變數 17
第一節 研究變數 17
第二節 研究方法 18
第三節 預測能力評估 19
第五章 實證結果 20
第一節 預測通貨膨脹指標 20
第二節 預測實質經濟變數指標 28
第三節 模型1 VS. 模型2 36
第四節 模型3 VS. 模型4 42
第六章 結論與建議 50
第一節 研究結論 50
第二節 未來研究方向及建議 51
參考文獻 52
附錄 55
附錄一 變數名稱與處理 55
附錄二 模型中各因子能解釋各變數的比例(R2) 77


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