結構變動與模型誤設之組合預測探討;Combination Forecasts from Misspecified Models in the Presence of Breaks

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题名:	結構變動與模型誤設之組合預測探討;Combination Forecasts from Misspecified Models in the Presence of Breaks
作者:	徐之強
贡献者:	國立中央大學經濟學系
关键词:	經濟學
日期:	2012-12-01
上传时间:	2014-03-17 14:14:33 (UTC+8)
出版者:	行政院國家科學委員會
摘要:	研究期間：10108~10207;This project investigates the effectiveness of combination forecasts when there are unanticipated structural changes and the forecasting model is misspecified. I develop a two-dimensional averaging procedure to combine forecasts with a variety of pooling methods. The proposed combination procedure proceeds in two steps. First, to avoid forecast breakdowns in the presence of instabilities, I propose averaging across estimation windows or weighting observations to obtain the optimal forecasts from the individual models. Then, to avoid the problem of model uncertainty, I suggest averaging across different forecasting models by using a variety of combination schemes. I will provide some analytical results to demonstrate that the proposed procedure can mitigate the impacts of parameter instability and model uncertainty on forecasting. Monte Carlo simulations will be conducted to compare the finite sample performance of the proposed procedure relative to other forecast combination methods. The two-dimensional averaging procedure can be applied in a number of empirical issues in economics and finance. To illustrate the usefulness of the proposed method, two empirical applications for predicting U.S. real GDP and employment growth rates will be presented.
關聯:	財團法人國家實驗研究院科技政策研究與資訊中心
显示于类别:	[經濟學系] 研究計畫

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