基于30年入境旅游外汇收入的最佳建模与预测

分段建模技术在社会科学研究中还很少见,它在自然科学中的研究,大多数仅局限于讨论其建模后的连续性,基本上是以样条函数为工具.利用SPSS13.0就改革开放30年来的中国国际入境旅游外汇收入实际数据进行全面的技术研究,并通过与单一的曲线拟合效果进行对照,取得了满意的统计模型和预测效果.其目的在于这一技术的进一步推广,避免中国目前众多的规划项目中粗糙模型的不准确预测和差异较大的规划决策后果.     

2000年湖北宏观经济规划模型预测结果分析

湖北省综合经济规划模型是根据1985年湖北省国民经济投入产出表,应用其大量的、各种、各类最基本的变量数据研制而成的。目的是在人、财、物资源量和需求量全面协调的基础上提出2000年湖北省社会经济发展的总体规划,对湖北省经济发展提出综合平衡的总体设想。该模型由1051个经济计量方程、状态方程和动态投入产出方程构成的动态系统所组成,共含121个外生变量和1050个内生变量。模型采用需求确定结构,供给确定水平的混合导向。国民经济主要指标预测及其依据     

2005上半年美国经济形势及全年展望

一、上半年美国经济增长较快上半年美国经济保持了稳定的增长态势,失业率持续下降,价格水平在有限范围内波动,贸易逆差继续扩大,美元贬值的势头有所缓和,股市总体表现平稳。(一)经济增长较快,增速略微放缓。按季节调整后2000年不变价的折合年率计算,上半年前两季度美国国内生产总值分别为10.999和11.092万亿美元,环比折年率增长分别为3.8%和3.4%。同一季度相比,二季度增速虽然比一季度回落0.4个百分点,但仍属较快增长。按同比计算,今年一季度和二季度均增长3.6%,而去年一至四季度增长4.7%、4.6%、3.8%和3.8%。因此自2003年四季度增长4.0%以…     

On the Optimal Parameters for Reconstruction and Forecasting in Singular Spectrum Analysis

There are two main parameters in Singular Spectrum Analysis (SSA). The aim of this study is to determine whether the optimal values of these parameters are different for reconstruction and forecasting stages, and if those are worth the extra computational effort and time which they require. Here, we evaluate these issues using simulation study.     

Some Problems in Forecasting Population for Government Planning Purposes

Some governments rely on centralized, official sets of population forecasts for planning capital facilities. But the nature of population forecasting, as well as the milieu of government forecasting in general, can lead to the creation of extrapolative forecasts not well suited to long-range planning. This report discusses these matters, and suggests that custom-made forecasts and the use of forecast guidelines and a review process stressing forecast assumption justification may be a more realistic basis for planning individual facilities than general-purpose, official forecasts.     

基于均衡关系的中国人口死亡率预测模型

人口死亡率反映了人口的死亡程度,准确预测死亡率是人口科学及人口经济学研究的重点之一,同时也是长寿风险测量的重要数据基础。基于Lee-Carter模型,探索中国大陆与台湾地区死亡率的相关性,通过协整分析考虑两地死亡率的长期均衡关系,创新性地建立基于相关性的向量误差修正模型(VECM),克服传统自回归移动平均模型(ARIMA)使用有限数据进行预测的局限性;均方预测误差作为检验标准,结果表明:基于VECM模型的预测效果比传统的预测效果更佳;基于中国大陆地区和台湾地区的死亡率长期均衡关系,可以为两地联合长寿债券的定价提供重要参考。     

我国宏观经济动态的监测预警体系

一、监测和预警的涵义 所谓监测和预警,就是从宏观上对国民经济运行系统的各个主要方面进行过程性刻划、追踪分析和警情预报。监测侧重于经济活动的并行分析,旨在揭示经济活动中各种因素的关系和经济变化的内在规律,是现实经济运行轨迹的实证展现;预警则侧重于经济活动和发展方向的险情预报,旨在预报经济活动中的各种不正常现象,是未来经济趋势的科学推断。两者既有联系又有区别,它们在内容和作用上构成一个总体,监测为预警服务,预警也为监测提供必要的信息。     

中国海洋经济发展的金融支持效率测算——基于三大海洋经济圈的实证

首先从理论上考察了金融支持对海洋产业发展的作用,其次采用灰色关联模型实证检验金融发展与海洋经济发展的关联性,接着运用面板SFA模型对中国11个省份的金融支持效率进行测算和时空差异分析。实证结果表明,中共十九大报告、"十三五"规划、粤港澳大湾区规划等国家政策提供了强有力的支持:金融发展与海洋经济发展的关联度均在0.5以上,表现出显著的正相关关系;进一步发现中国海洋产业的金融支持效率呈上升趋势,且三大海洋经济圈的效率水平差异较大,东部海洋经济圈支持效率水平在三个区域中最高,北部金融支持效率其次,南部支持效率较低;测算的金融支持效率结果显示,金融对海洋经济发展总体起着较好的促进作用,中国对海洋产业的金融支持成效逐年提升,但各海洋经济圈存在差异性,形成了"三圈三极"的格局,圈内各省海洋产业发展不均衡,差异较大,但总体来说效率趋于均衡,向高水平发展。最后,据此提出促进中国海洋产业发展及优化金融支持效率等方面的建议。     

经济循环波动的分析与与预测

经验和统计数据分析结果表明,我国经济存在着周期性的循环波动。这种波动对经济发展和改革有很大影响。因此,需要对它进行分析与预测。我认为,国外采用的景气指标法,我们可以借鉴。本文所要讨论的就是,如何确定经济的景气循环(周期);如何找到充分多的对形成或反应这种循环有重要作用的统计指标,即景气指标;并从中如何进行综合以反映循环中景气变化,以及在此基础上如何对经济的循环波动进行分析与预测。     

预测型稳健回归模型及其实证分析

一、引言回归分析是计量经济学中最常用的定量分析方法 ,也是建立经济计量模型的主要工具 ,它在现代经济定量分析中应用越来越广泛。众所周知 ,计量经济学方法有四大应用 :经济结构分析、政策模拟、预测和实证分析。人们为了分析经济变量间的长期结构 ,作了大量研究 ,如2 0 0 3年尼诺贝尔经济学奖获得者格兰杰 (Granger)引出的协整理论 ,还有稳健回归理论等等 ,目的是研究和找到经济变量间的长期稳定的关系结构。但如果直接将这些理论方法应用在回归模型的预测应用中 ,结果并不十分令人满意 ,原因是按照传统的计量经济方法建立的模型大部分…     

Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models

This article introduces a new specification for the heterogenous autoregressive (HAR) model for the realized volatility of S&P 500 index returns. In this modeling framework, the coefficients of the HAR are allowed to be time-varying with unspecified functional forms. The local linear method with the cross-validation (CV) bandwidth selection is applied to estimate the time-varying coefficient HAR (TVC-HAR) model, and a bootstrap method is used to construct the point-wise confidence bands for the coefficient functions. Furthermore, the asymptotic distribution of the proposed local linear estimators of the TVC-HAR model is established under some mild conditions. The results of the simulation study show that the local linear estimator with CV bandwidth selection has favorable finite sample properties. The outcomes of the conditional predictive ability test indicate that the proposed nonparametric TVC-HAR model outperforms the parametric HAR and its extension to HAR with jumps and/or GARCH in terms of multi-step out-of-sample forecasting, in particular in the post-2003 crisis and 2007 global financial crisis (GFC) periods, during which financial market volatilities were unduly high.     

Using Bayesian Techniques for Data Pooling in Regional Payroll Forecasting

This article adapts to the regional level a multicountry technique recently used by Garcia-Ferrer, Highfield, Palm, and Zellner (1987) and extended by Zellner and Hong (1987) to forecast the growth rates in gross national product across nine countries. This forecasting methodology is applied to the regional level by modeling payroll formation in seven Ohio metropolitan areas. We compare the forecasting performance of these procedures with that of a ridge estimator and find that the ridge estimator produces forecasts equal to or better than those from the newly proposed estimators. We conclude that the ridge estimator, which does not reference the pooled data information introduced by the newly proposed techniques, may serve as a benchmark against which to judge the relative importance of this kind of information in improving forecasts.     

经济预测中的Monte Carlo模拟及方差控制——以国际石油价格预测为例

从MDnte Carlo模拟的实现过程入手，首先通过对Monte Carlo方法原理的阐述来介绍该种方法。进一步结合具体的实例通过计算机进行模拟来解释Monte Carlo方法的具体实现过程。重点讨论在选择合理的数据生成过程的前提下，如何在Monte Carlo方法中减少模拟方差，从而提高估计精度，更好地应用这种方法来进行经济预测。     

Generalizing the Bayesian Vector Autoregression Approach for Regional Interindustry Employment Forecasting

The Bayesian vector autoregression (BVAR) employment-forecasting approach is generalized using data for the state of Georgia. This study advances previous regional BVAR approaches by (a) incorporating regional input-output coefficients instead of national coefficients, (b) using the coefficients both to specify the prior means in one model and to weight the variances of a Minnesota-type prior in a second model, and (c) including final-demand effects and links to national and world economies. Out-of-sample forecasts produced by the generalized BVAR models are compared to forecasts produced from an autoregressive model, an unconstrained VAR model, and a Minnesota BVAR model.     

对2000年主要经济指标的分析和预测

一、对 2 0 0 0年经济增长走势的分析和预测　　对于 2 0 0 0年经济的走势 ,目前社会各界看法不一。归纳起来 ,主要有以下三种观点 :第一种观点认为 ,2 0 0 0年经济增长将明显快于 1 999年 ,只要宏观措施得当 ,经济增长率可以达到 8 5 %。持这种比较乐观看法的根据是 ,1 999年 1 1月份召开的中央经济工作会议确定今年将继续实行积极的财政政策 ,中国加入ＷＴＯ后出口形势将明显好转。第二种观点认为 ,2 0 0 0年经济增长有可能继续下滑 ,经济增长率可能在 6 %左右。持这种比较悲观看法的依据是 ,我国近几年来经济的走势 ,无论从问题的产生、…     

时间序列转折点的贝叶斯预测

时间序列转折点的贝叶斯预测施发启在实际经济预测工作中,预测者越来越关心时间序列的变化趋势。迄今为止,由于转折点的预测和解释特别困难,本文试图运用贝叶斯方法对此问题作一初步探讨。一、预测转折点有关一个时间序列的转折点的定义,众说纷坛,莫衷一是。为了下文...     

In-Sample Inference and Forecasting in Misspecified Factor Models

This article considers in-sample prediction and out-of-sample forecasting in regressions with many exogenous predictors. We consider four dimension-reduction devices: principal components, ridge, Landweber Fridman, and partial least squares. We derive rates of convergence for two representative models: an ill-posed model and an approximate factor model. The theory is developed for a large cross-section and a large time-series. As all these methods depend on a tuning parameter to be selected, we also propose data-driven selection methods based on cross-validation and establish their optimality. Monte Carlo simulations and an empirical application to forecasting inflation and output growth in the U.S. show that data-reduction methods outperform conventional methods in several relevant settings, and might effectively guard against instabilities in predictors’ forecasting ability.