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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
Testing Forecast Optimality of Taiwan Under Unknown Loss Function
指導教授: 徐士勛
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: 2015
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。


    1 緒論 2
    1.1 研究動機與目的 2
    2 文獻回顧 3
    2.1 國外預測評測相關文獻探討 3
    2.2 國內預測評測相關文獻探討 3
    3 研究方法 5
    3.1 條件動態平均方程式 5
    3.2 條件動態均數與變異數方程式 7
    3.3 分量檢定 9
    4 實證結果 10
    4.1 實質國內生產毛額GDP 12
    4.2 消費者物價指數CPI 19
    5 結論 26
    參考文獻 28
    6 附錄 31
    6.1 PACF圖 31

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