政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/76245

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/76245

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政大典藏 > College of Social Science > Department of Economics > Theses > Item 140.119/76245

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/76245

Title:	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
Authors:	劉耿明
Contributors:	徐士勛劉耿明
Keywords:	最適預測損失函數台灣經濟預測
Date:	2014
Issue Date:	2015-07-01 14:59:33 (UTC+8)
Abstract:	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。
Reference:	徐士勛，管中閔與羅雅惠(2005)，以擴散指標為基礎之總體經濟預測，台灣經濟預測與政策， 36(1), 1-28 [Hsu, S.-H., C.-M. Kuan, and Y.-H. Lo (2005), “Macroeconomic Forecasting Based on Diffusion Indexes,” Taiwan Economic Forecast and Policy, 36(1), 1-28.] 梁國源(1995)，台灣兩個主要總體經濟季模型預測能力之評估，經濟論文叢刊，23(1), 43-82 [Liang, K.-Y. (1995), “A Critical Evaluation of Quarterly Macroeconomic Forecasting in Taiwan,” Taiwan Economic Review, 23(1), 43-82.] 陳宜廷，徐士勛，劉瑞文與莊額嘉(2011)，經濟成長率預測之評估與更新，經濟論文叢刊，39(1), 1–44 [Chen, Y.-T., S.-H. Hsu, R.-W. Liou, and O.-C. Chuang (2011), “Evaluating and Updating Economic Growth Rate Forecasts,” Taiwan Economic Review, 39(1), 1-44.] 謝子雄，徐士勛(2012)，台灣經濟成長率預測在景氣循環中的不對稱行為偏誤現象，經濟論文叢刊，40(3),377–416 [Xie, Z.，S.-H. Hsu，“Asymmetric Behavioral Bias On Taiwan`s Economic Growth Rate Forecasts”,40(3),377-416] Amir, E. and Y. Ganzach (1998),“Overreaction and Underreaction in Analysts Forecasts,” Journal of Economic Behavior & Organization, 37(3), 333-347. Ashiya, M. (2003),“Testing the Rationality of Japanese GDP Forecasts: The Sign of Forecast Revision Matters,” Journal of Economic Behavior & Organization, 50(2), 263-269. Christoffersen, P. F., and Diebold, F. X. (1997), “Optimal Prediction Under Asymmetric Loss,” Econometric Theory, 13, 808-817. Diebold, F. X., and Lopez, J. (1996), “Forecast Evaluation and Combination,” in Handbook of Statistics, eds. G. S. Maddala and C. R. Rao, Amsterdam: North-Holland, pp. 241-268. Diebold, F. X., and Rudebusch, G. D. (1991), “Forecasting Output With the Composite Leading Index: A Real-Time Analysis,” Journal of the American Statistical Association, 86, 603-610. Engle, R. F. (1982), “Autoregressive Conditional Heteroskedasticity With Estimates of the Variance of U.K. Inflation,” Econometrica, 50, 987-1008. Engle, R. F., Lilien, D. M., and Robins, R. P. (1987), “Estimating Time-Varying Risk Premia in the Term Structure: The ARCH–M Model,” Econometrica, 55, 391-407. Figlewski, S. and Wachtel, P. (1981), “The formation of inflationary expectations”, Review of Economics and Statistics, 63(1), 1-10. Fildes, R. and Stekler, H. (2002), “The state of macroeconomic forecasting”, Journal of Macroeconomics, 24(4), 435-468. Granger, C. W. J. (1969), “Prediction With a Generalized Cost Function,” OR, 20, 199-207. Granger, C. W. J., and Newbold, P. (1986), Forecasting Economic Time Series (2nd ed.), New York: Academic Press. Keane, M. P. and Runkle, D. L. (1990), “Testing the rationality of price forecasts: New evidence from panel data”, American Economic Review, 80(4), 714-735. Mincer, J. and V. Zarnowitz (1969), “The Evaluation of Economic Forecasts,” in J. Mincer (ed.), Economic Forecasts and Expectations: Analysis of Forecasting Behavior and Performance, 1-46, New York: NBER. Patton, A. J. and A. Timmermann (2007a), “Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity,” Journal of Econometrics, 140(2), 884-918. Patton, A. J. and A. Timmermann (2007b), “Testing Forecast Optimality under Unknown Loss,” Journal of the American Statistical Association, 102, 1172-1184. Varian, H. R. (1974), “A Bayesian Approach to Real Estate Assessment,” in Studies in Bayesian Econometrics and Statistics in Honor of Leonard J. Savage, eds. S. E. Fienberg and A. Zellner, Amsterdam: North-Holland, pp. 195-208. Weiss, A. A. (1996), “Estimating Time Series Models Using the Relevant Cost Function,” Journal of Applied Econometrics, 11, 539-560. Stock, J. H. and M. W.Watson (1998), “Diffusion Indexes,” NBERWorking Paper No. 6702. Stock, J. H. and M.W.Watson (2002), “Macroeconomic Forecasting Using Diffusion Indexes,” Journal of Business and Economic statistics, 20(2), 147-162. Zellner, A. (1986), “Bayesian Estimation and Prediction Using Asymmetric Loss Functions,” Journal of the American Statistical Association, 81, 446-451.
Description:	碩士國立政治大學經濟學系 102258023 103
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0102258023
Data Type:	thesis
Appears in Collections:	[Department of Economics] Theses

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