黑龙江省总体经济预测——基于扩散指数模型

Overall Economic Forecasting of Heilongjiang Province:Based on Diffusion Index Model

本文以Stock and Watson提出的"扩散指数"模型为基础,建立一个两步骤的"扩散指数"预测模型,并应用于黑龙江省经济增长率的预测。除了依循Stock and Watson的作法外,本文也将变量依其特性区分为商品市场变量与货币市场变量,再分别针对各市场变量估计其扩散指数,然后根据这些指数进行预测。实证结果显示,"扩散指数"预测模型具有相当好的预测绩效,也优于一般模型的预测,因此可以作为未来总体经济预测上的另一种选择。

This paper builds a ＂two step＂ diffusion index predictive model, and using it to the prediction of the economic growth rate of Heilongjiang Province based on applying diffusion index model proposed by Stock and Watson. Except in accordance with practice of Stock and Watson, this paper divides the variable into the variable of commodity market and money market variable in accordance with its characteristic. In order to estimate each market＇s diffusion index, we then predicting each market＇s performance according to these indexes. The empirical result reveals that the ＂diffusion index＂ model has quite good prediction performances, superior to the prediction of the common models, and can be regarded as another choice on the overall economic forecasting of future.