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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/121742


    Title: 結合變數挑選和混頻方法當下預測通膨
    Nowcasting Inflation by Combining Variable Selection and Mixed Frequency Methods
    Authors: 袁瑋成
    Yuan, Wei-Cheng
    Contributors: 林馨怡
    Lin, Hsin-Yi
    袁瑋成
    Yuan, Wei-Cheng
    Keywords: 混頻
    變數挑選
    通貨膨脹率
    Date: 2018
    Issue Date: 2019-01-04 16:58:02 (UTC+8)
    Abstract: 本文結合變數挑選與混頻(Mixed frequency)方法,提出兩步驟預測模型,並考慮大量且不同頻率的經濟變數當下預測美國通貨膨脹率。以美國1998年7月到2018年5月的實證結果顯示,加上變數挑選後的混頻模型,其預測表現顯著比無變數挑選的混頻模型好,且僅用少數個挑選出的變數組合預測可以更近一步改善模型的預測表現。而使用不同變數個數組合預測的混頻模型,其預測表現顯著比無混頻模型好,這表示以混頻方法將高頻率變數的資訊納入模型中確實能改善當下預測通膨的預測表現。我們亦發現僅使用少數重要的變數組合預測時,高頻率重要變數對預測表現的影響遠大於低頻率重要變數。此外,考慮不同的穩健性檢驗的結果顯示,本文所提之方法具有穩健性。
    Reference: 林馨怡與廖珈燕 (2017), ”大數據預測通貨膨脹率”, working paper.

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    Description: 碩士
    國立政治大學
    經濟學系
    105258019
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0105258019
    Data Type: thesis
    DOI: 10.6814/THE.NCCU.ECONO.024.2018.F06
    Appears in Collections:[經濟學系] 學位論文

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