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研究生:劉耿明
論文名稱:在未知損失函數的情況下探討台灣經濟預測的最適性
論文名稱(外文):Testing Forecast Optimality of Taiwan Under Unknown Loss Function
指導教授:徐士勛徐士勛引用關係
學位類別:碩士
校院名稱:國立政治大學
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
畢業學年度:103
語文別:中文
論文頁數:32
中文關鍵詞:最適預測損失函數台灣經濟預測
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本論文依據 Patton and Timmermann (2007) 之模型架構,透過最適預測檢定探討台灣主計總處公佈之經濟預測最適問題。研究結果發現,主計總處 GDP 之預測違反較多本文所假設的最適預測推論,因而 GDP 預測為非最適預測。主計總處 CPI 之預測在本文的最適預測推論架構下,雖相較於 GDP 預測符合較多推論,但仍然違反了其中一條最適推論,因而 CPI 預測仍為非最適預測。
第一章 緒論 2
第一節 研究動機與目的 2
第二章 文獻回顧 3
第一節 國外預測評測相關文獻探討 3
第二節 國內預測評測相關文獻探討 3
第三章 研究方法 5
第一節 條件動態平均方程式 5
第二節 條件動態均數與變異數方程式 7
第三節 分量檢定 9
第四章 實證結果 10
第一節 實質國內生產毛額 GDP 12
第二節 消費者物價指數 CPI 19
第五章 結論 26
參考文獻 28
第六章 附錄 31
徐士勛,管中閔與羅雅惠(2005),以擴散指標為基礎之總體經濟預測,台灣經濟預測與政策, 36(1), 1-28
[Hsu, S.-H., C.-M. Kuan, and Y.-H. Lo (2005), “Macroeconomic
Forecasting Based on Diffusion Indexes,” Taiwan Economic Forecast and Policy, 36(1),
1-28.]

梁國源(1995),台灣兩個主要總體經濟季模型預測能力之評估,經濟論文叢刊,23(1), 43-82
[Liang, K.-Y. (1995), “A Critical Evaluation of Quarterly Macroeconomic
Forecasting in Taiwan,” Taiwan Economic Review, 23(1), 43-82.]

陳宜廷,徐士勛,劉瑞文與莊額嘉(2011),經濟成長率預測之評估與更新,經濟論文叢刊,39(1), 1–44
[Chen, Y.-T., S.-H. Hsu, R.-W. Liou, and O.-C. Chuang (2011),
“Evaluating and Updating Economic Growth Rate Forecasts,” Taiwan Economic Review,
39(1), 1-44.]

謝子雄,徐士勛(2012),台灣經濟成長率預測在景氣循環中的不對稱行為偏誤現象,經濟論文叢刊,40(3),377–416
[Xie, Z.,S.-H. Hsu,“Asymmetric Behavioral Bias On Taiwan's Economic Growth Rate Forecasts”,40(3),377-416]

Amir, E. and Y. Ganzach (1998),“Overreaction and Underreaction in Analysts Forecasts,”
Journal of Economic Behavior &; Organization, 37(3), 333-347.

Ashiya, M. (2003),“Testing the Rationality of Japanese GDP Forecasts: The Sign of Forecast
Revision Matters,” Journal of Economic Behavior &; Organization, 50(2), 263-269.

Christoffersen, P. F., and Diebold, F. X. (1997), “Optimal Prediction Under
Asymmetric Loss,” Econometric Theory, 13, 808-817.

Diebold, F. X., and Lopez, J. (1996), “Forecast Evaluation and Combination,”
in Handbook of Statistics, eds. G. S. Maddala and C. R. Rao, Amsterdam:
North-Holland, pp. 241-268.

Diebold, F. X., and Rudebusch, G. D. (1991), “Forecasting Output With the
Composite Leading Index: A Real-Time Analysis,” Journal of the American
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of the Variance of U.K. Inflation,” Econometrica, 50, 987-1008.

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Risk Premia in the Term Structure: The ARCH–M Model,” Econometrica, 55,
391-407.

Figlewski, S. and Wachtel, P. (1981), “The formation of inflationary expectations”,
Review of Economics and Statistics, 63(1), 1-10.

Fildes, R. and Stekler, H. (2002), “The state of macroeconomic forecasting”,
Journal of Macroeconomics, 24(4), 435-468.

Granger, C. W. J. (1969), “Prediction With a Generalized Cost Function,” OR,
20, 199-207.

Granger, C. W. J., and Newbold, P. (1986), Forecasting Economic Time Series
(2nd ed.), New York: Academic Press.

Keane, M. P. and Runkle, D. L. (1990), “Testing the rationality of price
forecasts: New evidence from panel data”, American Economic Review,
80(4), 714-735.

Mincer, J. and V. Zarnowitz (1969), “The Evaluation of Economic Forecasts,” in J. Mincer
(ed.), Economic Forecasts and Expectations: Analysis of Forecasting Behavior and Performance,
1-46, New York: NBER.

Patton, A. J. and A. Timmermann (2007a), “Properties of Optimal Forecasts under Asymmetric
Loss and Nonlinearity,” Journal of Econometrics, 140(2), 884-918.

Patton, A. J. and A. Timmermann (2007b), “Testing Forecast Optimality under Unknown
Loss,” Journal of the American Statistical Association, 102, 1172-1184.

Varian, H. R. (1974), “A Bayesian Approach to Real Estate Assessment,”
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J. Savage, eds. S. E. Fienberg and A. Zellner, Amsterdam: North-Holland,
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Weiss, A. A. (1996), “Estimating Time Series Models Using the Relevant Cost
Function,” Journal of Applied Econometrics, 11, 539-560.

Stock, J. H. and M. W.Watson (1998), “Diffusion Indexes,” NBERWorking Paper No. 6702.

Stock, J. H. and M.W.Watson (2002), “Macroeconomic Forecasting Using Diffusion Indexes,”
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446-451.
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