動態因子模型之應用-以台灣總體資料為例

Dynamic factor model analysis in Taiwan

林祥偉(Hsiang-Wei Lin)

指導教授 ： 陳俊志

國立臺北大學/社會科學學院/經濟學系/碩士(2008年)

摘要

本篇論文運用Stock and Watson (2002)的動態因子模型(dynamic factor model)去預測7個台灣重要的經濟變數。我們利用184個台灣、美國和日本的季資料，資料期間從1981年第一季到2006年第四季，將資料分成為只有包含95個台灣資料與包含全部184個台灣、美國和日本的資料，然後比較其預測的結果。並且我們利用Diebold and Mariano (1995) 所發展的檢定與Clark and West (2007)檢定，作為模型準確性的衡量準則。在研究結果中顯示在一到四季的模型外預測，利用變數本身幾期的落後與少數的因子能夠改善傳統的總體預測模型，並且當我們分析全部184個資料時，預測的結果與只分析95個台灣的資料時並沒有顯著的不同。此外利用動態因子模型所產生的十二個因子當中，我們發現第一個與第二個因子可以表示為實質指標，而第三個因子可以表示為物價指標。

關鍵字

動態因子模型 ； 擴散指數 ； 預測 ； 主成分分析

並列摘要

This article extends the dynamic factor model of Stock and Watson (2002) to forecast seven important Taiwan variables. The data contain 184 quarterly time series for Taiwan, the United States, and Japan from 1981Q1 to 2006Q4. We divide the data into two parts; the first part only contains Taiwan 95 quarterly data. The second part contains all 184 quarterly data as a compare with the first part. We use Diebold and Mariano (1995) criterion and Clark and West (2007) criterion to be the forecasting accuracy test. We find a way to improve the traditional macroeconomic forecasting model which is using lags of itself and few factors for 1-, 2-, 3- and 4-quarter-ahead forecasts. The performance of forecasting has no significant difference when we add US and Japan series. Moreover, we find the first and second factors are the real indictors and the third factor is the price indictor.

並列關鍵字

Dynamic factor model ； Diffusion index ； forecasting ； Principal components

參考文獻

Huang, Y. L. and Hsu, C. C. (2005), “Reference Cycle: The CEPD Methodology Revisited,” Taiwan Economic Review. December, 33-4, 295-319. (In Chinese)

Amengual, D. and Watson, M. W. (2007), “Consistent Estimation of the Number of Dynamic Factors in a Large N and T panel,” Journal of Business and Economic Statistics. January, 25, 91-96.

Bai, J. and Ng, S. (2002), “Determining the Number of Factors in Approximate Factor Models,” Econometrica. January, 70:1, 191-221.

卅卅卅卅卅 (2006), “Evaluating latent and observed factors in macroeconomics and finance,” Journal of Econometrics. 131, 507-537.

卅卅卅卅卅 (2006), “Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions,” Econometrica. July, 74:4, 1133-1150.