系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2014年
10期
2539~2545
,共null页
先行指标 经济波动 平滑转换自回归 非参数协整检验
先行指標 經濟波動 平滑轉換自迴歸 非參數協整檢驗
선행지표 경제파동 평활전환자회귀 비삼수협정검험
leading indicator; macroeconomic fluctuations; smooth transition autoregression; nonparametric cointegration test
文中基于非参数协整检验，建立了基于先行指标预测我国经济短期波动的平滑转换自回归模型，以考察不同先行指标对短期内宏观经济波动的预测能力．结果显示：经济合作与发展组织（OECD）先行指标对季节调整后实际产出水平的预测误差基本在1％以内，国家统计局先行指标对国内生产总值（GDP）同比增长率的预测误差基本在5％以内．对2011年第2季度后GDP增长的样本外预测结果表明，两种先行指标的预测结果都与实际GDP增长率很接近，OECD指标的预测精度略优于国家统计局指标．
文中基于非參數協整檢驗，建立瞭基于先行指標預測我國經濟短期波動的平滑轉換自迴歸模型，以攷察不同先行指標對短期內宏觀經濟波動的預測能力．結果顯示：經濟閤作與髮展組織（OECD）先行指標對季節調整後實際產齣水平的預測誤差基本在1％以內，國傢統計跼先行指標對國內生產總值（GDP）同比增長率的預測誤差基本在5％以內．對2011年第2季度後GDP增長的樣本外預測結果錶明，兩種先行指標的預測結果都與實際GDP增長率很接近，OECD指標的預測精度略優于國傢統計跼指標．
문중기우비삼수협정검험，건립료기우선행지표예측아국경제단기파동적평활전환자회귀모형，이고찰불동선행지표대단기내굉관경제파동적예측능력．결과현시：경제합작여발전조직（OECD）선행지표대계절조정후실제산출수평적예측오차기본재1％이내，국가통계국선행지표대국내생산총치（GDP）동비증장솔적예측오차기본재5％이내．대2011년제2계도후GDP증장적양본외예측결과표명，량충선행지표적예측결과도여실제GDP증장솔흔접근，OECD지표적예측정도략우우국가통계국지표．
Based on the nonparametric cointegration test, this paper develops the smooth transition autoregression （STAR） model to forecast the short-run macroeconomic fluctuations using the leading indicators. It is found that the prediction error of actual output levels provided by Organization for Economic Co-operation and Development （OECD）＇s leading indicators after the seasonally adjusted is within 1%, and the prediction error of year-on-year growth rate of Gross Domestic Product （GDP） provided by National Bureau of Statics of China （NBSC） is less than 5%. Forecasting result of GDP growth in 2011 showed that the forecasting results of two leading indicators are very close to the real GDP growth rate, and leading indicator provided by OECD is prior to that provided by NBSC.
