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政大典藏 > College of Commerce > Department of International Business > Periodical Articles > Item 140.119/12453

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/12453

Title:	過濾自體抽樣預測績效檢定量
Other Titles:	A Sieve Bootstrap Test for Predictive Ability
Authors:	欉清全;李政峰;郭炳伸 Tsong, Ching-Chuan;Lee, Cheng-Feng;Kuo, Biing-Shen
Keywords:	forecast accuracy test;forecast encompassing test;sieve bootstrap 預測準確性檢定;預測涵蓋檢定;過濾自體抽樣
Date:	2006-09
Issue Date:	2008-12-03 13:51:18 (UTC+8)
Abstract:	預測準確性與預測涵蓋性檢定同是評估預測績效的有效方法。欉清全等(2005) 提出一種新的檢定程序，建構出AR－tc 統計量並導出其漸近分配。該程序雖然計算容易，但在樣本外預測個數有限時，隨預測期間的增長，AR－tc 存在型一誤差扭曲的問題。本文提出一種自體抽樣程序用以估計AR－tc 統計量的小樣本分配，冀以改善型一誤差扭曲的問題。我們提供該程序正確性的證明。模擬結果的確顯示，該程序可以有效改善統計量的錯誤拒絕比率，同時具有不錯的檢力表現。
Relation:	經濟論文叢刊, 34(3), 317-334
Data Type:	article
Appears in Collections:	[Department of International Business] Periodical Articles

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