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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Main Authors: Chen-Ta Sung, 宋政達
Other Authors: CHIH-CHIANG HSU
Format: Others
Language:zh-TW
Published: 2010
Online Access:http://ndltd.ncl.edu.tw/handle/24995477266841350822
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spelling ndltd-TW-098NCU053890032016-04-20T04:17:46Z http://ndltd.ncl.edu.tw/handle/24995477266841350822 Forecasting inflation:An Application of the Dynamic FactorModel with Structural Instability 通貨膨脹率預測:考慮結構變動之動態因子模型應用 Chen-Ta Sung 宋政達 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. CHIH-CHIANG HSU 徐之強 2010 學位論文 ; thesis 75 zh-TW
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language zh-TW
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description 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.
author2 CHIH-CHIANG HSU
author_facet CHIH-CHIANG HSU
Chen-Ta Sung
宋政達
author Chen-Ta Sung
宋政達
spellingShingle Chen-Ta Sung
宋政達
Forecasting inflation:An Application of the Dynamic FactorModel with Structural Instability
author_sort Chen-Ta Sung
title Forecasting inflation:An Application of the Dynamic FactorModel with Structural Instability
title_short Forecasting inflation:An Application of the Dynamic FactorModel with Structural Instability
title_full Forecasting inflation:An Application of the Dynamic FactorModel with Structural Instability
title_fullStr Forecasting inflation:An Application of the Dynamic FactorModel with Structural Instability
title_full_unstemmed Forecasting inflation:An Application of the Dynamic FactorModel with Structural Instability
title_sort forecasting inflation:an application of the dynamic factormodel with structural instability
publishDate 2010
url http://ndltd.ncl.edu.tw/handle/24995477266841350822
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