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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 陳旭昇(Shiu-Sheng Chen) | |
| dc.contributor.author | Cheng-Wei Lin | en |
| dc.contributor.author | 林正偉 | zh_TW |
| dc.date.accessioned | 2021-05-13T08:37:50Z | - |
| dc.date.available | 2016-08-26 | |
| dc.date.available | 2021-05-13T08:37:50Z | - |
| dc.date.copyright | 2016-08-26 | |
| dc.date.issued | 2016 | |
| dc.date.submitted | 2016-07-24 | |
| dc.identifier.citation | [1] Hirotugu Akaike. A new look at the statistical model identification. Automatic Control, IEEE Transactions on, 19(6):716–723, 1974.
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/3872 | - |
| dc.description.abstract | 本文試以多種組合預測方法，評估多個文獻中曾提及的預測變數對原油月均價、月底價的預測效果，使用資料期間為1986:M2至2015:M10。根據Working (1960)闡述月均價格變動的前後期將會有相關性，本研究導入一個新變數用於預測原油月均價，其結果顯著優於no-change預測，使MSPE降低幅度達39%。此外，以過去文獻提及的預測變數來預測原油月底價時，預測效果集中於特定期間，無法於整體評估期間保持預測能力。同時，文獻上計算MSPE時有兩種算法，在預測效果於期間內並非均勻分布的情況下，將可能使兩種算法所得的MSPE Ratio有所差異，且此MSPE Ratio差異的大小亦與評估期間的選取有關。 | zh_TW |
| dc.description.abstract | This article uses monthly data from 1986:M2 to 2016:M10 to examine the predictive power for both monthly-averaged oil prices and end-of-month oil prices by multiple forecast combination methods. According to Working (1960) , our work derive a new predictor of monthly-averaged oil prices which can significantly reduce the MSPE by 39% compare with no-change forecast. When forecasting the end-of-month oil prices, the predictive power only exists in a certain period, can't hold the power for the whole evaluation period. Our work explain the relationship between MSPE calculated with two different ways. Because the predictive power only exists in a certain period, there would be some different between MSPE Ratio of two kinds of MSPE calculation ways.This difference would be correlated with the choice of evaluation period. | en |
| dc.description.provenance | Made available in DSpace on 2021-05-13T08:37:50Z (GMT). No. of bitstreams: 1 ntu-105-R01323072-1.pdf: 729852 bytes, checksum: ec988fdf95ddf0311bc1ab2668a87e35 (MD5) Previous issue date: 2016 | en |
| dc.description.tableofcontents | 口試委員審定書. . . . . . . . . . . . . . . . . . . . . . . . . . . i
誌謝. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ii 中文摘要. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . iii 英文摘要. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . iv 目錄. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . v 1 前言. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 2 計量模型. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 2.1 預測組合方法: 線性模型. . . . . . . . . . . . . . . . . . . . . 6 2.2 模型權重. . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 2.2.1 簡單平均法與Bates-Granger 法. . . . . . . . . . . . . . . . . 7 2.2.2 Information Criterion 與Smoothed Information Criterion. . . . 7 2.2.3 Cross-Validation 與Jackknife Model Averaging. . . . . . . . . 8 2.2.4 Mallows Model Averaging . . . . . . . . . . . . . . . . . . . 8 2.2.5 Plug-In Averaging . . . . . . . . . . . . . . . . . . . . . . 8 3 資料與變數選擇. . . . . . . . . . . . . . . . . . . . . . . . . . 9 3.1 月底價變動率. . . . . . . . . . . . . . . . . . . . . . . . . . 9 3.2 月均價變動率. . . . . . . . . . . . . . . . . . . . . . . . . . 10 4 實證結果. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 4.1 樣本內估計. . . . . . . . . . . . . . . . . . . . . . . . . . . 10 4.2 MSPE、MAPE 與Sucessiful Ratio . . . . . . . . . . . . . . . . . 11 4.3 MSPE 與MAPE 的兩種計算方式. . . . . . . . . . . . . . . . . . . 12 4.4 時間與預測表現. . . . . . . . . . . . . . . . . . . . . . . . . 16 4.5 再探MSPE 與MAPE 的兩種計算方式. . . . . . . . . . . . . . . . . 17 5 結論. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25 附錄一Working Effect . . . . . . . . . . . . . . . . . . . . . . .. 27 附錄二預測月均價的預測變數選擇. . . . . . . . . . . . . . . . . . . 29 參考文獻. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35 | |
| dc.language.iso | zh-TW | |
| dc.title | 原油價格組合預測模型之建構 | zh_TW |
| dc.title | Forecasting Crude Oil Price: A Forecast Combination Approach | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 104-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 周有熙(Yu-Hsi Chou),劉祝安(Chu-An Liu) | |
| dc.subject.keyword | 組合預測,油價預測,月均價,月底價,no-change 預測,AIC,BIC,AICc,HQ,HDBIC,CV,MMA,JMA,PIA,MSPE,MAPE,Working effect, | zh_TW |
| dc.subject.keyword | Forecast combination,Forecast oil price,Monthly-averaged price,End-of-month price,No-change forecast,AIC,BIC,AICc,HQ,HDBIC,CV,MMA,JMA,PIA,MSPE,MAPE,Working effect, | en |
| dc.relation.page | 38 | |
| dc.identifier.doi | 10.6342/NTU201601209 | |
| dc.rights.note | 同意授權(全球公開) | |
| dc.date.accepted | 2016-07-25 | |
| dc.contributor.author-college | 社會科學院 | zh_TW |
| dc.contributor.author-dept | 經濟學研究所 | zh_TW |
| 顯示於系所單位： | 經濟學系 | |
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