Forecasting inflation:An Application of the Dynamic FactorModel with Structural Instability
碩士 === 國立中央大學 === 經濟學研究所 === 98 === In this paper,we use a structural change dynamic factor forecasting model proposed by Stock and Watson (2008a).We focus on Taiwan''s 115 macroeconomic variables employ in the Chow test and in-sample forecasting.The inflation rate for the next fou...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/24995477266841350822 |
| Summary: | 碩士 === 國立中央大學 === 經濟學研究所 === 98 === In this paper,we use a structural change dynamic factor forecasting model proposed by Stock and Watson (2008a).We focus on Taiwan''s 115 macroeconomic variables employ in the Chow test and in-sample forecasting.The inflation rate for the next four quarter do out of sample forecasting.We also classify the macroeconomic variables into three kinds of markets (namely, the commodity, finance and labor markets) and discussion of the different markets predict the inflation rate.Empirical results indicate that the dynamic factor forecasting model existence of structural changes in the parameters.We find that DFM with structural changes has batter performance of in-sample forecasting than without structural changes.We also find that discriminate the market variables can improve the dynamic factor model to predict the inflation rate.
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