Download - 當期景氣衰退指標是否可成為 通用的門檻變數 ?
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1.
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1. Hamiliton(1989) Hussey(1992)Beaudry and Koop(1993) Pedersen and Elmer(2003) Henry et al.(2004)Ocal(2006)()
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1. (no parametric) (parametric)
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1. (parametric) (Markov Switching)(Threshold)
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1. () () ()
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1. Henry et al.(2004)CDR (current depth of recession)(Switch)
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1. Beaudry and Koop (1993)CDR (current depth of recession) Yi,tt CDR t s CDR=0()CDR>0
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2.CDRCDRCDRCDRCDR
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2. CDR (modified CDRmCDR)
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2.CDRCDR mCDR
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2.CDRCDR3 Yi,t t CDR3 t s
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2.CDRCDR3
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CDR CDR32.
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CDR3CDRCDR3CDRCDR3CDR3CDR()2.
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CDR3()CDR3CDR3CDR3CDR(modified CDRmCDR)2.
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CDRmCDR(CDRmCDR)TARmCDRCDR2.
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2. G7TAR (Threshold Autoregressive )4(2002~2005)16
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2.CDRTAR
mCDRTAR
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2.(RMSE)(Theils Inequality Coefficient)
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2. DM(Diebold and Mariano,1995)Chung(2006)(bootstraps method)MD
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3.TARCDRTARCDRTARTARCDR=0
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3. (Rolling Forecasting)
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3. RMSE 12 34mCDR 3
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3. RMSE
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3. DM 1(90%) 3(90%) 4 (95%) mCDRTAR TAR()TAR
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4. TARTAR11mCDRCDR
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4. (12)(34)mCDRCDR
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4. mCDRmCDR CDR (1) (2) (3) (4)
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TVAR() mCDR
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2.mCDR()mCDR
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2. CDRCDRBradley and Jansen(1997)CDRCDR(New CDRNCDR)