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Jingdong book

预测经济时间序列

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Jingdong book

预测经济时间序列

Name: 预测经济时间序列
Brand: Jingdong book
SKU: 3110068561
Price: 44.84 USD
Availability: OutOfStock

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Content Description

本书旨在建立一套适用于宏观经济预测的经济计量学理论，作者系统地讨论了经济预测各方面的相关问题，并对产生和评价预测的传统的经济计量工具和技术作了批判性的评价。最后给出了对实际预测工作的建议。

Author Description

M.P.柯莱蒙兹（M.P.Clements）牛津大学（Oxford University）纳菲尔德学院（Nuffield College）计量经济学哲学博士，现任英国沃里克大学（Warwick University）经济系数授，《国际预测学刊》（International Journal of Forecasting）主编

Catalogue

1预测简论
1.1本书的背景
1.2本书的结构
1.3经济预测理论简史
1.4预测框架
1.5其他预测方法
1.6一个虚构的实例

2预测的首要原理
2.1简介
2.2不可预测性
2.3信息含量
2.4随机变量的矩
2.5可预报性
2.6概念的含义
2.7预测技术简介
2.8多变量模型的预测
2.9经济预测中的因果信息
2.10小结

3预测精度的评价
3.1简介
3.2预测结果的比较
3.3相竞模型的预测
3.4MSFE度量
3.5MSFE标准的非不变性
3.6一个具不变性的预测精度度量
3.7预测似然函数
3.8小结

4单变量过程的预测
4.1简介
4.2稳定的随机过程
4.3稳定性
4.4随机的非稳定性
4.5确定的非稳定性
4.6分数整合过程
4.7非线性模型的预测
4.8含有ARCH误差的模型的预测
4.9二阶矩相关和非对称损失函数
4.10小结
4.11附录：估计量幂指数的近似计算

5蒙特卡罗模拟技术
5.1简介
5.2蒙特卡罗的基本理论
5.3两阶矩度量的控制变量
5.4对偶变量：单方程的预测偏差
5.5小结

6协整系统的预测
6.1简介
6.2非稳定变量组成的系统
6.3AR表示形式的线性变换
6.4渐近方差公式
6.5系统的预测偏差
6.6小样本估计中的问题
6.7蒙特卡罗实验的设计
6.8模拟结果
6.9实例说明
6.10小结
6.11附录：数学推导

7大型宏观经济计量模型的预测
8截距修正理论：超越机械式的预测
9领先指标在预测中的应用
10综合预测
11多步估计
12模型的简易性
13预测精的检验
14后记
数学符号
参考文献
作者索引
主题索引

Book Abstract

1预测简论
1.1本书的背景
用实证的经济计量模型作宏观经济预测，是一项具有挑战性的工作，但却意义重大，本书的目的旨在讨论这一工作中经常出现的一些本质问题，遗憾的是，很多方研究都回避了现实工作中可能遇到的困难，所以研究结果也只有有限的意义，一般地，用经济计量模型作预测时，总假设使用的模型是设置正确的，即它们与产生数据的机制是一致的，由此推导出这些模型的数学和统计特征。经济计量学为分析这些模型的特征提供了有效的工具和技术，但这些技术必须建立在一些“假设”之上，使得数量化的结果合乎逻辑。为了使合乎逻辑的结论有实际意义，这些“假设”必须反映现实世界的特征，这在预测分析中也是如此。但许多现存的经济预测，却建立在过于简单的假设上，如假设：(1)数据产生过程(DGP)是不变的、不随时间变化的；(2)数据产生过程是稳定的(non-inte—grated)随机过程；(3)数据产生过程与用来预测的经济计量模型是一致的。
第一个假设，即存在不变的、不随时间变化的DGP，排除了由经济体系结构变化(structural change)和体制迁移(regime shift)所引起的经济的进展。而这样的变化和变迁是经常发生的，它们对最佳预测的传统结果提出了挑战。举个简单的例子，若一个过程经历了系统迁移，那么基于过去的信息的预测，由于它们基于系统发生迁移前的条件期望值，就不一定再是对将来的无偏预测。我们现在正在进行的研究课题，就是探讨在存在确定性的(deterministic)非稳定的(non—stationary)变化时，如系统迁移等，如何进行合理的预测。这一研究课题的部分结果成为本书的基础，而更完整、更系统的处理将在本书的续篇中给出。我们在本书的第2．9，7．4，8．6和12．6节中，分析了在不同条件下作预测的意义。

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