政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/74185

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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/74185

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/74185

Title:	THE USE OF HIGH FREQUENCY DATA TO IMPROVE MACROECONOMETRIC FORECAST
Authors:	Shen, Chung-Hua;LIOU, RUEY-WAN 沈中華
Contributors:	金融系
Date:	1996
Issue Date:	2015-03-30 12:02:08 (UTC+8)
Abstract:	Monthly measurements generally provide valuable information for future economic movements. This study demonstrates how the high frequency data, through a subset of variables in the monthly model, can be pooled in a systematic way via the quarterly econometric model as well as improve the forecasting accuracy. Three monthly models, VAR, BVAR, and ARIMA are used to capture the monthly information. Single-and tow-quarter-ahead forecasts are combined with the monthly data. Results obtained by using the modified Taiwan government quarterly model indicate the potential for significant reductions in root mean squared errors over the one-quarter-ahead forecasts. However, the gain appears to be of less relevance for the longer-term forecast horizon.
Relation:	International Economic Journal , vol. 10, no. 2, pp. 65-83
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1080/10168739600000020
DOI:	10.1080/10168739600000020
Appears in Collections:	[金融學系] 期刊論文

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