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半参数STAR模型的估计及应用
id: 2325
Date: 20160223
Times:
Magazines
第34卷第2期,P273-281
Author
蔡楠, 方颖
Content
文中首次提出了一个新的STAR模型,在保留了转换函数的前提下,让转换变量以非参数的形式进入转换函数,从而有效减少了模型误设的风险,提高了样本内拟合和样本外预测的能力。蒙特卡罗实验的结果显示半参数STAR模型的有限样本拟合结果令人满意.利用1994年1月到2012年7月的人民币实际有效汇率月度数据,将半参数STAR模型和随机游走模型、自回归模型、 门限自回归模型、平滑转换自回归模型和人工神经网络模型的样本外预测能力进行比较,结果显示半参数STAR模型在样本外预测能力上具有显著优势。
JEL-Codes
Keywords
STAR模型半参数估计;样本外预测
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