MIDAS模型与EQW模型预测精度的比较——以资产价格的经济增长效应为例  

A Comparative Study of Prediction Accuracy between MIDAS Model and EQW Model——Taking the Economic Growth Effect of Asset Price as an Example

作　　者：王春枝 赵国杰[2] 王维国[3] 于扬 WANG Chunzhi;ZHAO Guojie;WANG Weiguo;YU Yang(Department of Statistics and Mathematics, Inner Mongolia Finance and Economics University, Hohhot 010070, China;Department of Management and Economics, Tianjin University, Tianjin 300072, China;Department of Economics, Dongbei University of Finance and Economics, Dalian Liaoning 116025, China)

机构地区：[1]内蒙古财经大学统计与数学学院,呼和浩特010070 [2]天津大学管理与经济学部,天津300072 [3]东北财经大学经济学院,辽宁大连116025

出　　处：《北京理工大学学报（社会科学版）》2017年第6期95-102,共8页Journal of Beijing Institute of Technology：Social Sciences Edition

基　　金：国家社会科学基金重大项目资助"新常态下我国宏观经济监测和预测研究"(15ZDA001);内蒙古自然科学基金资助项目"结构转换GARCH建模及其在金融资产收益波动中的应用"(2016MS0716);内蒙古自然科学基金资助项目"蒙特卡洛方法在贝叶斯随机波动预测模型中的应用研究"(2014MS0701)

摘　　要：深入剖析混频数据模型(MIDAS)的内部结构,推导出MIDAS模型与传统同频率EQW模型的区别与联系,并且证明EQW模型参数估计的偏误,在此基础上,进一步结合多种不同形式的权重函数,推导出MIDAS类模型非线性最小二乘估计方法的具体机理及理论演绎过程,并且以资产价格对中国经济增长效应的样本内预测为例,对MIDAS模型的精度进行了实证检验。实证结果表明:多元EQW模型的拟合效果及样本内预测精度均低于最优滞后阶数下Exp Almon-AR-M-MIDAS模型,Exp Almon-AR-M-MIDAS模型能够提取更多高频解释变量的有效信息。In this paper,the internal structure of the Mixing Data Sampling model（MIDAS）was thoroughly analyzed,and the difference and connection between the MIDAS model and the traditional EQW model were deduced,and the error of parameter estimation of EQW model was proved.On the basis of the above analysis,five different forms of weight function were constructed,and the concrete mechanism and deduction process of the nonlinear least squares estimation method of MIDAS model were obtained.Furthermore,the intra-sample forecast of the effect of asset price on China＇s economic growth was taken as an example to test the accuracy of MIDAS model.The empirical results show that the fitting effect and the intra-sample prediction accuracy of the multivariate EQW model are lower than those of the Exp Almon-AR-M-MIDAS model under the optimal lag order;the Exp AlmonAR-M-MIDAS model can extract more high-frequency interpretations.

关 键 词：MIDAS模型 EQW模型 预测精度 权重函数 资产价格 经济增长 

分 类 号：F222[经济管理—国民经济]