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    题名: 台灣景氣轉折點預測-Probit模型與組合預測的應用
    Forecasting the Turning Points of Taiwan Business Cycles by using Probit Model and Combined Forecasts
    作者: 李勁宏
    贡献者: 徐士勛
    李勁宏
    关键词: 景氣轉折點
    Probit模型
    期間利差
    領先指標
    組合預測
    business cycle turning point
    Probit model
    yield spread
    leading indicator
    combination forecasting
    日期: 2015
    上传时间: 2015-07-13 11:16:25 (UTC+8)
    摘要: 本文使用具有事前訊息的領先指標與期間利差作為預測變數,根據不同利差與落後期選擇的 Probit 模型,利用遞迴的方式預測景氣轉折點發生機率,並進一步將個別預測結果進行組合,試圖找出能降低不確定性且優於個別預測結果的方法。實證結果發現,使用 Diebold and Mariano 檢定的預測包容法為其中最優的組合方法,無論是轉折點訊號或預測誤差都能優於半數以上的個別預測。此外,本文亦估計即期景氣轉折點的發生機率,根據模型的估計結果推斷,自 2012 年 2 月至 2015 年 3 月為止,景氣仍處於擴張階段。
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    描述: 碩士
    國立政治大學
    經濟學系
    102258035
    103
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0102258035
    数据类型: thesis
    显示于类别:[經濟學系] 學位論文

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