基于混频动态因子模型的数字经济状态指数构建与预测研究——以杭州市为例  

Constructing and Predicting Digital Economy Conditions Index Using Mixed-Frequency Dynamic Factor Model-A Case Study of Hangzhou

作　　者：张延群[1] 尹建兵 王妍艳 张明进 Zhang Yanqun;Yin Jianbing;Wang Yanyan;Zhang Mingjin(Institute of Quantitative&Technical Economics,Chinese Academy of Social Sciences;Huangzhou Company of the State Grid Zhejiang Electric Power Company,Ltd.;Faculty of Applied Economics,University of Chinese Academy of Social Sciences)

机构地区：[1]中国社会科学院数量经济与技术经济所 [2]国网浙江省电力有限公司杭州供电公司 [3]中国社会科学院大学应用经济学院

出　　处：《调研世界》2024年第7期79-86,共8页The World of Survey and Research

基　　金：国家自然科学基金重大项目“宏观大数据建模和预测研究”(71991475);中国社会科学院创新工程基础学者资助项目“我国收入分配有关问题研究”(XJ2023012);“中国社会科学院经济大数据与政策评估实验室项目”(2024SYZH004)的资助。

摘　　要：我国数字经济规模不断扩大,在经济发展、税收、就业等方面发挥着越来越重要的作用。为及时了解数字经济发展现状、对数字经济发展趋势做出预判,有必要构建刻画数字经济发展状态的数字经济状态指数。本文提出运用混频动态因子模型,从不同频度的数据中提取因子构建月度数字经济状态指数的方法,并运用杭州市季度数字经济产业增加值和月度数字经济产业营业收入数据进行实证分析,构建了杭州市月度数字经济状态指数。实证结果表明,所构建的月度数字经济状态指数能很好地刻画数字经济发展状态,且可以为预测季度数字经济状态指数提供有用信息,从而为政府决策提供理论支持。China’s digital economy grows rapidly and plays an increasingly important role in economic development,taxation and employment.To timely understand the current situation of the digital economy and predict its future development,it is necessary to construct a digital economy conditions index(ECI),which describes the status of the digital economy.This paper proposes a method of constructing the monthly ECI using the mixed-frequency dynamic factor model.Based on this method we empirically construct the monthly ECI using Hangzhou’s quarterly value-added data and the monthly industrial operation revenue data of the digital economy industries.The empirical results show that the constructed monthly ECI of Hangzhou can accurately describe the development conditions of the digital economy,and provide useful information for predicting the quarterly ECI of the digital economy,providing theoretical support for government decision-making.

关 键 词：数字经济 状态指数 混频动态因子模型 预测 

分 类 号：F49[经济管理—产业经济]