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    题名: 經濟成長率預測之評估與更新
    其它题名: Evaluating and Updating Economic Growth Rate Forecasts
    作者: 陳宜廷;徐士勛;劉瑞文;莊額嘉
    Chen,Yi-Ting;Hsu,Shih-Hsun;Liou,Ruey-Wan;Chuang,O-Chia
    贡献者: 政大經濟系
    关键词: 經濟成長率;條件動差檢定;擴散指標;預測誤差;預測更新
    economic growth rate;conditional moment test;diffusion index;forecasting error;forecast updating model
    日期: 2011-03
    上传时间: 2013-09-17 15:27:39 (UTC+8)
    摘要: 本研究由設定檢驗的觀點，評估行政院主計處的一季前經濟成長率預測表現，並提供可能的預測更新模型。實證顯示前述預測的誤差項具有顯著的一階自我相關結構，並與部分總體擴散指標之落後項相關。亦即，此預測誤差具有可再預測性，故主計處的預測表現末臻預測均方差極小化之最適結果。依據檢定所得出的訊息，我們設計出數個預測更新模型。其中最簡單的模型，僅需主計處上一期的預測誤差，即可對其當期預測值進行即時的更新。預測更新模型的樣本內、外表現，皆優於主計處原有的一季前預測，亦明顯優於未納入主計處預測的擴散指標模型。
    In this empirical study, we evaluate the one-quarter-ahead economic-growth- rate forecasting performance of Taiwan`s Directorate General of Budget, Accounting and Statistics (DGBAS) and provide certain forecast updating models to improve the forecasting performance. Specifically, the DGBAS forecasting error sequence has significant autocorrelation of order one and is correlated with the macroeconomic diffusion indexes. This motivates us to propose a set of models for updating the DGBAS forecast. Among these models, the simplest one needs only the current DGBAS forecast and the previous DGBAS forecasting error, and the best model extends this simple model by including certain properly selected diffusion indexes as explanatory variables. The updated models considerably outperform the DGBAS forecast and the pure diffusion index models (that do not account for the DGBAS forecast) in both the in-sample and out-of-sample comparisons.
    關聯: 經濟論文叢刊, 39(1), 1-44
    数据类型: article
    DOI 連結: http://dx.doi.org/10.6277/ter.2011.391.1
    DOI: 10.6277/ter.2011.391.1
    显示于类别:[經濟學系] 期刊論文

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