非线性模型对不同信息准则的适用性研究——以港币月度实际有效汇率数据为例

Study on Applicability of Non-Linear Models to Different Information Criteria——Based on Monthly Real Effective Exchange Rate of HKD

利用各种不同的信息准则对港币月度实际有效汇率1964-01～2009-02间大样本数据和2004-05～2009-02间小样本数据分别进行非线性模型估计和选择,并使用Bootstrap方法对估计出的模型向前多步预测,计算相对误差(RE)和均方根误差(RSME)值,通过Wilcoxon Signed-Rank检验来比较模型的预测精度,进而评价各个模型的拟合效果,最后得出各个信息准则在大样本和小样本数据下适用性的结论。

Using various information criteria conducts non-linear model estimation and selection for monthly real effective exchange rate of HKD of large sample data（January 1964-February 2009） and small sample data（May 2004-February 2009）. Performs the multi-step forward forecast of the models through Bootstrap methods, calculates the values of relative error（RE） and root-mean-square error（RMSE）, and compares the predictive accuracy of each model through the Wilcoxon Signed-Rank test so as to evaluate the fitting effect of each model. At last obtains a conclusion about the applicability of various information criteria to large and small sample datas.