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| 研究生： |
袁瑋成 Yuan, Wei-Cheng |
|---|---|
| 論文名稱： |
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 |
| 指導教授： |
林馨怡
Lin, Hsin-Yi |
| 口試委員: |
徐士勛
徐之強 |
| 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： | 2018 |
| 畢業學年度： | 107 |
| 語文別： | 中文 |
| 論文頁數： | 42 |
| 中文關鍵詞： | 混頻 、變數挑選 、通貨膨脹率 |
| DOI URL： | http://doi.org/10.6814/THE.NCCU.ECONO.024.2018.F06 |
| 相關次數： | 點閱：106 下載：16 |
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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。
1 緒論 1
2 文獻回顧 4
3 計量方法與預測模型 9
3.1 變數挑選 9
3.2 混合頻率方法 10
3.3 預測模型 12
4 實證結果 17
4.1 資料和模型評估 17
4.2 變數挑選對預測能力之影響 21
4.3 考慮混合頻率 28
4.4 不同組合預測方法 30
4.5 穩健性檢驗 31
5 結論 40
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