经济波动随机时间序列模型的比较研究

Study on Stochastic Time Series Models of Business Fluctuation

本文分析了线性的 ARMA模型和非线性的 TAR模型描述经济波动的适用性 ,论述了两种模型的建立方法 ,进而对它们描述经济波动的实际效果进行了比较分析 ,得出结论

On the basis of analyzing the fitness of linear ARMA model and nonlinear TAR model in describing business fluctuation, the modeling procedure of each model is discussed. After the actual results of two models in describing business fluctuation are compared and analyzed, the conclusion that TAR model is more suitable to describing the nonlinear law of business fluctuation than ARMA model is drawn.