门限分位数自回归模型的预测方法及应用

金融经济系统预测是宏观经济管理的重要问题,系统中大多数变量具有非线性与异质性等特征,门限分位数自回归（TQAR）模型能够较好地揭示这一特征。本文研究TQAR模型的预测技术,给出其条件分位数预测和条件密度预测方法。数值模拟结果表明,与传统的门限均值自回归模型（TAR）和分位数自回归（QAR）模型相比,TQAR模型在预测的精度和准度方面更具优势。文章使用TQAR模型研究中国通货膨胀的非线性动态特征,并在此基础上预测通货膨胀的波动趋势。实证结果表明,TQAR模型不仅能够揭示通货膨胀的门限效应和异质效应,提供比TAR和QAR模型更高的预测精准度,而且能够通过条件密度预测曲线,细致刻画通货膨胀条件分布的位置、散布与形状等全景信息,从而为宏观经济政策的制定和调整提供科学合理的决策依据。     

基于非线性混沌动力学模型的宏观经济系统运行实证分析

本文利用非线性回归方法建立了混沌动力学模型，并对我国宏观经济系统的运行进行了实证分析。结果表明，通货膨胀因素对所建立的非线性混沌动力学模型的结论没有影响。尽管不同的模型所得到的结论略有不同，但所有实证结果均表明我国宏观经济系统并未陷入混沌状态。     

深度学习神经网络能改进GDP的预测能力吗?

目前国内外复杂的经济形势加大了预测GDP的难度，因此，如何有效地预测GDP是值得研究的重要理论与现实问题。有鉴于此，本文构建了既具有宏观经济理论基础又符合中国宏观经济特征的指标体系，并构造了一个用于GDP预测分析的LSTM模型，将之与BVAR模型进行对比研究，以科学地判断LSTM模型是否能够提升GDP预测的精确度。研究结果表明：第一，本文选择的扩展指标能够提升BVAR模型与LSTM模型的GDP预测能力；第二，相比于BVAR模型，LSTM模型能够更好地挖掘扩展指标对GDP的非线性影响，从而提升短期GDP预测能力。鉴于LSTM模型强大的自我学习能力、良好的泛化能力以及较好的模型可调节性，LSTM模型在GDP预测领域具有广阔前景。     

基于非线性支持向量机区域物流量预测

针对现阶段物流系统样本量少的具体状况，从神经网络的非线性预测分析入手，建立物流量预测非线性支持向量机模型并在廊坊市应用，与其它预测方法进行比较，证明采用支持向量机用于区域物流量预测的正确性、可行性并具有较高精度。     

基于模型分析的液压伺服系统性能参数预测

为了提高液压伺服系统的控制精度,文章对液压伺服系统中的一些非线性参数进行了预测与估计。参数估计之前,首先对目标液压工作系统进行了建模与参数化描述,抽取了其控制和工作模型,计算并推导了模型中主要的液压参数直接的数学关系,如液压受力分析、受力传递函数、噪声信号过滤函数等。在此基础上,采用最小二乘估计算法对液压伺服系统中的非线性参数进行预测,给出了详细的参数分析过程和预测参数推导过程,建立了主要参数的估计计算公式。最后,对所估计的非线性参数进行了仿真和测试。结果表明,文章所选择的参数预测结果与实际的运行结果基本吻合,预测算法参数估计误差小。     

基于BP神经网络的服装出口预测

服装出口贸易受到国内国际诸多因素的影响,是一个复杂的非线性系统。BP神经网络能够以任意精度逼近任何一个具有有限间断点的非线性函数,特别适合于解决非线性系统的预测决策问题。采用三层BP神经网络对我国服装出口进行预测,结果表明该方法能有效的对服装出口进行预测。     

季度宏观经济的一种组合预测法

本文提出了一种季度宏观经济的组合预测法。该方法是在动态模型,即在结构模型的基础上进行预测,然后以最优组合预测法对单变量时间序列截面数据进行预测,对两种方法预测出的结果进行平均。研究表明,这种组合预测法具有良好的预测效果,从而为季度宏观经济预测提供了一种新的有效的方法。     

基于模型分析的液压伺服系统性能参数预测

为了提高液压伺服系统的控制精度,文章对液压伺服系统中的一些非线性参数进行了预测与估计.参数估计之前,首先对目标液压工作系统进行了建模与参数化描述,抽取了其控制和工作模型,计算并推导了模型中主要的液压参数直接的数学关系,如液压受力分析、受力传递函数、噪声信号过滤函数等.在此基础上,采用最小二乘估计算法对液压伺服系统中的非线性参数进行预测,给出了详细的参数分析过程和预测参数推导过程,建立了主要参数的估计计算公式.最后,对所估计的非线性参数进行了仿真和测试.结果表明,文章所选择的参数预测结果与实际的运行结果基本吻合,预测算法参数估计误差小.     

改进BP神经网络在预测房地产价格指数中的应用

要对非线性趋势房地产价格指数进行预测,就必须利用模拟非线性的模型,采用BP人工神经网络的改进算法,建立了基于BP神经网络的房地产价格指数预测模型。结果表明:该模型预测精度较高,能较好地反映房地产价格指数内在变化规律。     

线性与非线性宏观经济模型的双谱检验

一、引言 宏观经济模型可以分为两类:决定的宏观经济模型与随机宏观经济模型。在模型设定上,决定的宏观经济模型可分为线性与非线性决定的宏观经济模型,随机宏观经济模型又可分为线性与非线性随机宏观经济模型。决定它们的根据是作为基础的数据生成过程,因为宏观经济模型都是由数据生成过程结构形成的。由于人们都认识到宏观经济时     

基于BP神经网络的安徽省物流需求预测研究

利用BP神经网络构建安徽省物流需求预测模型,在初步确定了预测模型的输入指标和输出指标后,通过灰关联分析,验证了两者之间的强关联性。借助MATLAB7.0软件实现了神经网络预测模型的建立,该模型揭示了输入指标与物流需求量指标之间的非线性映射关系。对训练好的网络进行仿真预测,预测精度较高,说明基于BP神经网络的物流需求预测模型是有效的。     

A generalized non-linear forecasting model for limited overs international cricket

This paper proposes a generalized non-linear forecasting model (GNLM) for forecasting the number of runs remaining to be scored in an innings of cricket. The proposed model takes into account the numbers of overs left and wickets lost. The GNLFM can be used to build a model for any format of limited-overs international cricket. However, the purpose of its use in this paper is for building a forecasting model for projecting second innings total runs in Twenty-20 International cricket. Our model makes it possible to estimate the runs differential of the two competing teams whilst the match is in progress. The runs differential can be used not only to gauge the closeness of a game, but also to estimate the ratings of cricket teams that take into account the margin of victory. Furthermore, the well-known original Duckworth/Lewis (DL) model and the McHale/Asif version of it for revising targets in interrupted matches are special cases of our proposed generalized non-linear forecasting model.     

Forecasting macroeconomic variables using collapsed dynamic factor analysis

We explore a new approach to the forecasting of macroeconomic variables based on a dynamic factor state space analysis. Key economic variables are modeled jointly with principal components from a large time series panel of macroeconomic indicators using a multivariate unobserved components time series model. When the key economic variables are observed at a low frequency and the panel of macroeconomic variables is at a high frequency, we can use our approach for both nowcasting and forecasting purposes. Given a dynamic factor model as the data generation process, we provide Monte Carlo evidence of the finite-sample justification of our parsimonious and feasible approach. We also provide empirical evidence for a US macroeconomic dataset. The unbalanced panel contains quarterly and monthly variables. The forecasting accuracy is measured against a set of benchmark models. We conclude that our dynamic factor state space analysis can lead to higher levels of forecasting precision when the panel size and time series dimensions are moderate.     

Many Models at the Bank of England

In this article, Simon Wren-Lewis examines why the Bank of England considers not one but a range of models when forecasting and formulating policy. He argues this reflects not so much alternative macroeconomic schools of thought, but instead alternative approaches to the nature of models themselves. In the academic literature there is now a spectrum of model types, reflecting the relative importance given to either macroeconomic theory on the one hand or explaining past data on the other. The conventional econometric model attempts a rather uneasy compromise in the middle of this spectrum, and has become distinctly unfashionable within academic circles. Despite this, the Bank retains a conventional econometric model at the core of its forecasting and policy analysis. The article discusses this model, but it also asks why the Bank places this type of model at the core of its analysis when they are now hardly used in academic macroeconomics? The answer is that the conventional model still has a number of crucial advantages for policymakers. The danger is that, in the absence of academic work on models of this type, the Bank may not be able to continue to maintain the high standard of its core model.     

基于BP神经网络的民用汽车运力灰色回归组合预测研究

文章根据组合预测的理论和BP神经网络对非线性数据良好的逼近特性。提出了基于BP神经网络的灰色预测、多项式回归模型的民用汽车运力组合预测模型。此模型综合了各单一模型的有效信息．能够比较客观地反映地区民用汽车运力的发展趋势．为相关部门提供决策依据。     

Forecasting with vector autoregressive (VAR) models subject to business cycle restrictions

In the last decade VAR models have become a widely-used tool for forecasting macroeconomic time series. To improve the out-of-sample forecasting accuracy of these models, Bayesian random-walk prior restrictions are often imposed on VAR model parameters. This paper focuses on whether placing an alternative type of restriction on the parameters of unrestricted VAR models improves the out-of-sample forecasting performance of these models. The type of restriction analyzed here is based on the business cycle characteristics of U.S. macroeconomic data, and in particular, requires that the dynamic behavior of the restricted VAR model mimic the business cycle characteristics of historical data. The question posed in this paper is: would a VAR model, estimated subject to the restriction that the cyclical characteristics of simulated data from the model “match up” with the business cycle characteristics of U.S. data, generate more accurate out-of-sample forecasts than unrestricted or Bayesian VAR models?     

Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model

We extend the class of dynamic factor yield curve models in order to include macroeconomic factors. Our work benefits from recent developments in the dynamic factor literature related to the extraction of the common factors from a large panel of macroeconomic series and the estimation of the parameters in the model. We include these factors in a dynamic factor model for the yield curve, in which we model the salient structure of the yield curve by imposing smoothness restrictions on the yield factor loadings via cubic spline functions. We carry out a likelihood-based analysis in which we jointly consider a factor model for the yield curve, a factor model for the macroeconomic series, and their dynamic interactions with the latent dynamic factors. We illustrate the methodology by forecasting the U.S. term structure of interest rates. For this empirical study, we use a monthly time series panel of unsmoothed Fama–Bliss zero yields for treasuries of different maturities between 1970 and 2009, which we combine with a macro panel of 110 series over the same sample period. We show that the relationship between the macroeconomic factors and the yield curve data has an intuitive interpretation, and that there is interdependence between the yield and macroeconomic factors. Finally, we perform an extensive out-of-sample forecasting study. Our main conclusion is that macroeconomic variables can lead to more accurate yield curve forecasts.     

Forecasting the exchange rate using nonlinear Taylor rule based models

This research utilises a non-linear Smooth Transition Regression (STR) approach to modelling and forecasting the exchange rate, based on the Taylor rule model of exchange rate determination. The separate literatures on exchange rate models and the Taylor rule have already shown that the non-linear specification can outperform the equivalent linear one. In addition the Taylor rule based exchange rate model used here has been augmented with a wealth effect to reflect the increasing importance of the asset markets in monetary policy. Using STR models, the results offer evidence of non-linearity in the variables used and that the interest rate differential is the most appropriate transition variable. We conduct the conventional out-of-sample forecasting performance test, which indicates that the non-linear models outperform their linear equivalents as well as the non-linear UIP model and random walk.     

Macroeconomic forecasting using structural factor analysis

The use of a small number of underlying factors to summarize the information from a much larger set of information variables is one of the new frontiers in forecasting. In prior work, the estimated factors have not usually had a structural interpretation and the factors have not been chosen on a theoretical basis. In this paper we propose several variants of a general structural factor forecasting model, and use these to forecast certain key macroeconomic variables. We make the choice of factors more structurally meaningful by estimating factors from subsets of information variables, where these variables can be assigned to subsets on the basis of economic theory. We compare the forecasting performance of the structural factor forecasting model with that of a univariate AR model, a standard VAR model, and some non-structural factor forecasting models. The results suggest that our structural factor forecasting model performs significantly better in forecasting real activity variables, especially at short horizons.     

Business and consumer expectations and macroeconomic forecasts

Business and consumer surveys have become an essential tool for gathering information about different economic variables. While the fast availability of the results and the wide range of variables covered have made them very useful for monitoring the current state of the economy, there is no consensus on their usefulness for forecasting macroeconomic developments.The objective of this paper is to analyse the possibility of improving forecasts for selected macroeconomic variables for the euro area using the information provided by these surveys. After analyzing the potential presence of seasonality and the issue of quantification, we tested whether these indicators provide useful information for improving forecasts of the macroeconomic variables. With this aim, different sets of models have been considered (AR, ARIMA, SETAR, Markov switching regime models and VAR) to obtain forecasts for the selected macroeconomic variables. Then, information from surveys has been considered for forecasting these variables in the context of the following models: autoregressive, VAR, Markov switching regime and leading indicator models. In all cases, the root mean square error (RMSE) has been computed for different forecast horizons.The comparison of the forecasting performance of the two sets of models permits us to conclude that, in most cases, models that include information from the surveys have lower RMSEs than the best model without survey information. However, this reduction is only significant in a limited number of cases. In this sense, the results obtained extend the results of previous research that has included information from business and consumer surveys to explain the behaviour of macroeconomic variables, but are not conclusive about its role.