混频数据的计量经济学方法：理论与应用-西方经济学专业论文.docxVIP

山东大学博士学位论文4．3数据与实证结果 山东大学博士学位论文 4．3数据与实证结果 55 4．3．1参数估计与预测分析 61 4．3．2预测分析与对比 63 4．4本章总结 65 第5章粗糙边缘数据 66 5．1粗糙边缘数据的估计方法 66 5．1．1缺失观测值情况下MF-、队R的估计 66 5．1．2使用粗糙边缘数据估计因子 67 5．2使用粗糙边缘数据“实时预报”与预测产出增长率 70 5．2．1 MIDAS方法 7l 5．2．2 MF．VAR方法 72 5．2．3混频因子模型 72 5．2．4月度产出增长率的预测 74 5．3本章总结 75 第6章结论 76 参考文献 78 万方数据 山东大学博士学位论文 山东大学博士学位论文 CoNTENTS Abstract(Chin髑e) l Abstmct(English) 1V Chapter l Introducti蚰 l 1．1 Background 1 l：2 Pu印ose and Sigllificance of Research 1 1．3 Research Framework and Methodology 2 1．4 Main InnoVations and Shortcomings of the Dissenation 3 1．5 Summary 4 Chapt盯2 Lit盯ature Re、，iew 5 2．1 The Bridge Equations 5 2．2 The MIDAS Model 7 2．2．1 TIle MIDAS Wei曲ts 1l 2．2．2 The AR—MIDAS Model 15 2．2．3 The CoMIDAS Model 16 2．2 4 Extensions of MIDAS Model 16 2．3 The MF二VrAR Models 17 2．3．1 The Classical Framework 18 2．3．2 The Bayesian Fr锄ework 2l 2．3．3 Discussions on MIDAS aIld MF—VAR 21 2．4 The Mixed—Fkquency Factor Models 23 2．4．1 Tlle Mixed—Fkquency Small Scale Factor Models 23 2．4．2 The Mixed—F诧quency La略e Scale Factor Models 25 2．4．3 The Factor Models in State Space Representation 26 2．5 The Factor-MIDAS Models 28 2．5．1 The Basic Facto卜MIDAS Method 28 2．5．2 The Smoothed Factor—MIDAS Method 29 2．5．3 The U眦estricted MIDAS Method 29 2．6 Summa巧 30 Chapter 3 Forecasting Output Growth and Innation Rate-An MIDAS 32 Approach 3．1 Data and The Estimation of Parameters 33 3．1．1 TIle Frequency Domain Filter 33 3．1．2 The Estimation of Parameters 34 3．2 Forecasting Analysis 40 3．2．1 The Forecasting Analysis for Output Growth 41 3．2．2 The Forecasting Analysis fbr Inflation Rate 44 3．2．3 The Diebold—Mariano Test 46 3．3 Summary 49 Chapter 4 Forecasting VoIatiHty with MIDAS Regressions 51 4．1 The MIDAS Regressions 5l 4．2 The MIDAS Models for Forecasting Volatility 54 万方数据 山东大学博士学位论文4．3 山东大学博士学位论文 4．3 Data and The Empincal Results 55 4．3．1 The Estimation of Parameters and Forecasting Analysis 61 4．3．2 Comparison of me MIDAS Models and me Benchmark M0del 63 44 Summary 65 Chapter 5 The