Title page for etd-0617117-204652


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URN etd-0617117-204652
Author Yun-Sheng Lin
Author's Email Address No Public.
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Department Economics
Year 2016
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Forecasting Economic Growth Rates with Time-Varying Parameters Model - The case of Taiwan
Date of Defense 2017-07-05
Page Count 49
Keyword
  • loss function
  • time-varying parameters model
  • economic growth rates
  • optimal window size
  • forecasting
  • Abstract It’s been confirmed by many scholars that there is an issue regarding structural variations in time-series data, and it has shown significance in terms of prediction, due to the fact that it would compromise the predictive accuracy if the research was conducted with pre-structural variation data. As the issue mentioned above, the paper has applied time-varying parameters model and the econometric measurement brought by Inoue et al.(2017), trying to find out the most suitable window size for the purpose of prediction by the loss function approach in order to get a close predictand to reality as possible. On empirical analysis, the paper used the same econometric measurement to predict Taiwan’s economic growth rate, adding one exogenous variable at a time for a total of 24 in conclusion, to determine which ones were relatively suitable, as taking the predictive economic growth rate announced by the Directorate-General of Budget as comparison. The result has indicated that if anyone of the following exogenous variable were included, such as the different products’ Value of Export Orders, the Manufacturing Sales Index, the Industrial Production-Total Index, the MIB, Coincident Indicator and Leading Indicators, then the predictive circumstance would have an advantage over the one that's releasing by the Directorate-General of Budget.
    Advisory Committee
  • Yuan-Ho Hsu - chair
  • Ming-Jang WENG - co-chair
  • Chingnun Lee - advisor
  • Files
  • etd-0617117-204652.pdf
  • indicate access worldwide
    Date of Submission 2017-07-17

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