多元宏观时间序列的拟合及预测—基于VAR模型和状态空间模型.pdfVIP

Statistics and Application 统计学与应用, 2016, 5(2), 136-147 Fitting and Prediction of Multi Macroeconomic Time Series —Based on VAR Model and State-Space Model Jingru Yin College of Statistics and Mathematics, Yunnan University of Finance and Economics, Kunming Yunnan th th th Received: Jun. 7 , 2016; accepted: Jun. 26 , 2016; published: Jun. 30 , 2016 Copyright © 2016 by author and Hans Publishers Inc. This work is licensed under the Creative Commons Attribution International License (CC BY). Abstract Predictions have been concerned about the issue, especially in the macroeconomic. Univariate time series prediction can not meet basic needs. Multiple macroeconomic time series has urgent demand for reasonable model. Currently AR model and VAR model develop better, and to some extent, are used for analysis and policy analysis in macro fields. While state space model validates observable variables, unobserved variables are added. In an open economy and the rapid devel- opment background, state-space model can adapt to the actual needs. This paper selects the three basic macroeconomic variables in three areas (industrial, money supply and CPI), fitting VAR model and state space model and predicting, comparing predictions. The results show that the prediction accuracy of the state space model is superior to the VAR model. Keywords Prediction, State Space Model, VAR Model, Macroeconomic 多元宏观时间序列的拟合及预测 —基于VAR模型和状态空间模型 尹静茹 云南财经大学统计与数学学院，云南 昆明 文章引用: 尹静茹. 多元宏观时间序列的拟合及预测[J]. 统计学与应用, 2016, 5(2): 136-147. /10.12677/sa.2016.52013