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題名 在未知損失函數的情況下探討台灣經濟預測的最適性
Testing Forecast Optimality of Taiwan Under Unknown Loss Function
作者 劉耿明
貢獻者 徐士勛
劉耿明
關鍵詞 最適預測
損失函數
台灣經濟預測
日期 2014
上傳時間 1-Jul-2015 14:59:33 (UTC+8)
摘要 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。
參考文獻 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\n [Hsu, S.-H., C.-M. Kuan, and Y.-H. Lo (2005), “Macroeconomic\nForecasting Based on Diffusion Indexes,” Taiwan Economic Forecast and Policy, 36(1),\n1-28.]\n\n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\n [Liang, K.-Y. (1995), “A Critical Evaluation of Quarterly Macroeconomic\nForecasting in Taiwan,” Taiwan Economic Review, 23(1), 43-82.]\n\n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\n [Chen, Y.-T., S.-H. Hsu, R.-W. Liou, and O.-C. Chuang (2011),\n“Evaluating and Updating Economic Growth Rate Forecasts,” Taiwan Economic Review,\n39(1), 1-44.]\n\n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\n[Xie, Z.，S.-H. Hsu，“Asymmetric Behavioral Bias On Taiwan`s Economic Growth Rate Forecasts”,40(3),377-416]\n\nAmir, E. and Y. Ganzach (1998),“Overreaction and Underreaction in Analysts Forecasts,”\nJournal of Economic Behavior & Organization, 37(3), 333-347.\n\nAshiya, M. (2003),“Testing the Rationality of Japanese GDP Forecasts: The Sign of Forecast\nRevision Matters,” Journal of Economic Behavior & Organization, 50(2), 263-269.\n\nChristoffersen, P. F., and Diebold, F. X. (1997), “Optimal Prediction Under\nAsymmetric Loss,” Econometric Theory, 13, 808-817.\n\nDiebold, F. X., and Lopez, J. (1996), “Forecast Evaluation and Combination,”\nin Handbook of Statistics, eds. G. S. Maddala and C. R. Rao, Amsterdam:\nNorth-Holland, pp. 241-268.\n\nDiebold, F. X., and Rudebusch, G. D. (1991), “Forecasting Output With the\nComposite Leading Index: A Real-Time Analysis,” Journal of the American\nStatistical Association, 86, 603-610.\n\nEngle, R. F. (1982), “Autoregressive Conditional Heteroskedasticity With Estimates\nof the Variance of U.K. Inflation,” Econometrica, 50, 987-1008.\n\nEngle, R. F., Lilien, D. M., and Robins, R. P. (1987), “Estimating Time-Varying\nRisk Premia in the Term Structure: The ARCH–M Model,” Econometrica, 55,\n391-407.\n\nFiglewski, S. and Wachtel, P. (1981), “The formation of inflationary expectations”,\nReview of Economics and Statistics, 63(1), 1-10.\n\nFildes, R. and Stekler, H. (2002), “The state of macroeconomic forecasting”,\nJournal of Macroeconomics, 24(4), 435-468.\n\nGranger, C. W. J. (1969), “Prediction With a Generalized Cost Function,” OR,\n20, 199-207.\n\nGranger, C. W. J., and Newbold, P. (1986), Forecasting Economic Time Series\n(2nd ed.), New York: Academic Press.\n\nKeane, M. P. and Runkle, D. L. (1990), “Testing the rationality of price\nforecasts: New evidence from panel data”, American Economic Review,\n80(4), 714-735.\n\nMincer, J. and V. Zarnowitz (1969), “The Evaluation of Economic Forecasts,” in J. Mincer\n(ed.), Economic Forecasts and Expectations: Analysis of Forecasting Behavior and Performance,\n1-46, New York: NBER.\n\nPatton, A. J. and A. Timmermann (2007a), “Properties of Optimal Forecasts under Asymmetric\nLoss and Nonlinearity,” Journal of Econometrics, 140(2), 884-918.\n\nPatton, A. J. and A. Timmermann (2007b), “Testing Forecast Optimality under Unknown\nLoss,” Journal of the American Statistical Association, 102, 1172-1184.\n\nVarian, H. R. (1974), “A Bayesian Approach to Real Estate Assessment,”\nin Studies in Bayesian Econometrics and Statistics in Honor of Leonard\nJ. Savage, eds. S. E. Fienberg and A. Zellner, Amsterdam: North-Holland,\npp. 195-208.\n\nWeiss, A. A. (1996), “Estimating Time Series Models Using the Relevant Cost\nFunction,” Journal of Applied Econometrics, 11, 539-560.\n\nStock, J. H. and M. W.Watson (1998), “Diffusion Indexes,” NBERWorking Paper No. 6702.\n\nStock, J. H. and M.W.Watson (2002), “Macroeconomic Forecasting Using Diffusion Indexes,”\nJournal of Business and Economic statistics, 20(2), 147-162.\n\nZellner, A. (1986), “Bayesian Estimation and Prediction Using Asymmetric\nLoss Functions,” Journal of the American Statistical Association, 81,\n446-451.
描述 碩士
國立政治大學
經濟學系
102258023
103
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102258023
資料類型 thesis
dc.contributor.advisor 徐士勛zh_TW
dc.contributor.author (Authors) 劉耿明zh_TW
dc.creator (作者) 劉耿明zh_TW
dc.date (日期) 2014en_US
dc.date.accessioned 1-Jul-2015 14:59:33 (UTC+8)-
dc.date.available 1-Jul-2015 14:59:33 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2015 14:59:33 (UTC+8)-
dc.identifier (Other Identifiers) G0102258023en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=85076-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description (描述) 102258023zh_TW
dc.description (描述) 103zh_TW
dc.description.abstract (摘要) 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。zh_TW
dc.description.tableofcontents 第一章 緒論 2\n第一節 研究動機與目的 2\n第二章 文獻回顧 3 \n第一節 國外預測評測相關文獻探討 3\n第二節 國內預測評測相關文獻探討 3\n第三章 研究方法 5\n第一節 條件動態平均方程式 5\n第二節 條件動態均數與變異數方程式 7\n第三節 分量檢定 9\n第四章 實證結果 10\n第一節 實質國內生產毛額 GDP 12\n第二節 消費者物價指數 CPI 19\n第五章 結論 26\n參考文獻 28\n第六章 附錄 31zh_TW
dc.format.extent 971338 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102258023en_US
dc.subject (關鍵詞) 最適預測zh_TW
dc.subject (關鍵詞) 損失函數zh_TW
dc.subject (關鍵詞) 台灣經濟預測zh_TW
dc.title (題名) 在未知損失函數的情況下探討台灣經濟預測的最適性zh_TW
dc.title (題名) Testing Forecast Optimality of Taiwan Under Unknown Loss Functionen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 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\n [Hsu, S.-H., C.-M. Kuan, and Y.-H. Lo (2005), “Macroeconomic\nForecasting Based on Diffusion Indexes,” Taiwan Economic Forecast and Policy, 36(1),\n1-28.]\n\n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\n [Liang, K.-Y. (1995), “A Critical Evaluation of Quarterly Macroeconomic\nForecasting in Taiwan,” Taiwan Economic Review, 23(1), 43-82.]\n\n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\n [Chen, Y.-T., S.-H. Hsu, R.-W. Liou, and O.-C. Chuang (2011),\n“Evaluating and Updating Economic Growth Rate Forecasts,” Taiwan Economic Review,\n39(1), 1-44.]\n\n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\n[Xie, Z.，S.-H. Hsu，“Asymmetric Behavioral Bias On Taiwan`s Economic Growth Rate Forecasts”,40(3),377-416]\n\nAmir, E. and Y. Ganzach (1998),“Overreaction and Underreaction in Analysts Forecasts,”\nJournal of Economic Behavior & Organization, 37(3), 333-347.\n\nAshiya, M. (2003),“Testing the Rationality of Japanese GDP Forecasts: The Sign of Forecast\nRevision Matters,” Journal of Economic Behavior & Organization, 50(2), 263-269.\n\nChristoffersen, P. F., and Diebold, F. X. (1997), “Optimal Prediction Under\nAsymmetric Loss,” Econometric Theory, 13, 808-817.\n\nDiebold, F. X., and Lopez, J. (1996), “Forecast Evaluation and Combination,”\nin Handbook of Statistics, eds. G. S. Maddala and C. R. Rao, Amsterdam:\nNorth-Holland, pp. 241-268.\n\nDiebold, F. X., and Rudebusch, G. D. (1991), “Forecasting Output With the\nComposite Leading Index: A Real-Time Analysis,” Journal of the American\nStatistical Association, 86, 603-610.\n\nEngle, R. F. (1982), “Autoregressive Conditional Heteroskedasticity With Estimates\nof the Variance of U.K. Inflation,” Econometrica, 50, 987-1008.\n\nEngle, R. F., Lilien, D. M., and Robins, R. P. (1987), “Estimating Time-Varying\nRisk Premia in the Term Structure: The ARCH–M Model,” Econometrica, 55,\n391-407.\n\nFiglewski, S. and Wachtel, P. (1981), “The formation of inflationary expectations”,\nReview of Economics and Statistics, 63(1), 1-10.\n\nFildes, R. and Stekler, H. (2002), “The state of macroeconomic forecasting”,\nJournal of Macroeconomics, 24(4), 435-468.\n\nGranger, C. W. J. (1969), “Prediction With a Generalized Cost Function,” OR,\n20, 199-207.\n\nGranger, C. W. J., and Newbold, P. (1986), Forecasting Economic Time Series\n(2nd ed.), New York: Academic Press.\n\nKeane, M. P. and Runkle, D. L. (1990), “Testing the rationality of price\nforecasts: New evidence from panel data”, American Economic Review,\n80(4), 714-735.\n\nMincer, J. and V. Zarnowitz (1969), “The Evaluation of Economic Forecasts,” in J. Mincer\n(ed.), Economic Forecasts and Expectations: Analysis of Forecasting Behavior and Performance,\n1-46, New York: NBER.\n\nPatton, A. J. and A. Timmermann (2007a), “Properties of Optimal Forecasts under Asymmetric\nLoss and Nonlinearity,” Journal of Econometrics, 140(2), 884-918.\n\nPatton, A. J. and A. Timmermann (2007b), “Testing Forecast Optimality under Unknown\nLoss,” Journal of the American Statistical Association, 102, 1172-1184.\n\nVarian, H. R. (1974), “A Bayesian Approach to Real Estate Assessment,”\nin Studies in Bayesian Econometrics and Statistics in Honor of Leonard\nJ. Savage, eds. S. E. Fienberg and A. Zellner, Amsterdam: North-Holland,\npp. 195-208.\n\nWeiss, A. A. (1996), “Estimating Time Series Models Using the Relevant Cost\nFunction,” Journal of Applied Econometrics, 11, 539-560.\n\nStock, J. H. and M. W.Watson (1998), “Diffusion Indexes,” NBERWorking Paper No. 6702.\n\nStock, J. H. and M.W.Watson (2002), “Macroeconomic Forecasting Using Diffusion Indexes,”\nJournal of Business and Economic statistics, 20(2), 147-162.\n\nZellner, A. (1986), “Bayesian Estimation and Prediction Using Asymmetric\nLoss Functions,” Journal of the American Statistical Association, 81,\n446-451.zh_TW