| 研究生: |
廖珈燕 Liao, Jia Yan |
|---|---|
| 論文名稱: |
大數據預測通貨膨脹率 Forecasting Inflation with Big Data |
| 指導教授: |
林馨怡
Lin, Hsin Yi |
| 學位類別: |
碩士
Master |
| 系所名稱: |
社會科學學院 - 經濟學系 Department of Economics |
| 論文出版年: | 2016 |
| 畢業學年度: | 104 |
| 語文別: | 中文 |
| 論文頁數: | 55 |
| 中文關鍵詞: | Google trends 關鍵字 、通貨膨脹率 |
| 外文關鍵詞: | Google trends, Inflation |
| 相關次數: | 點閱:76 下載:0 |
| 分享至: |
| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
本文主要是透過 Google trends 網站提供的關鍵字搜尋量資料,
探討網路資料是否能夠提供通貨膨脹率的即時資訊。
透過美國消費者物價指數的組成細項作為依據,蒐集美國2004年1月至2015年12月的 Google trends 關鍵字變數,並藉由最小絕對壓縮挑選機制(Least absolute shrinkage and selection operator)、
彈性網絡(Elastic Net)以及主成分分析法(Principal component analysis)等等變數挑選機制,有效地整合大量的關鍵字資料。實證結果發現,透過適當變數挑選後的 Google trends 關鍵字變數確實可改善美國通貨膨脹率的即時預測表現,並為美國通貨膨脹率提供額外有效的資訊。此外,我們透過台灣的關鍵字資料檢驗,也確認Google trends 關鍵字資料可以幫助台灣通貨膨脹率的即時預測。
1.緒論 1
2 大數據 3
2.1 資料探勘 3
2.2 高維度問題 4
3 文獻回顧 8
3.1 當下量測 8
3.2 預測模型建立及評估 12
3.3 通膨預測 16
4 美國實證結果 21
4.1 美國通貨膨脹資料 21
4.2 Google trends 關鍵字指標建構 21
4.3 模型估計結果 24
4.4 樣本外預測能力評估 25
4.5 日資料 33
5 台灣實證結果 38
5.1 台灣通貨膨脹資料 38
5.2 Google trends 關鍵字指標建構 38
5.3 模型估計結果 39
5.4 樣本外預測能力評估 39
5.5 日資料 45
6 結論 50
參考文獻 51
附錄 54
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