预测型稳健回归模型及其实证分析

被引:9
作者
王新军
黄守坤
机构
[1] 山东财政学院经济学院
关键词
预测; 稳健回归; M-估计;
D O I
10.19343/j.cnki.11-1302/c.2004.12.011
中图分类号
F224 [经济数学方法];
学科分类号
0701 ; 070104 ;
摘要
The econometrics model which is established by traditional ordinary least square mainly reveals the long-term and average relations among economical variables. In the forecasting application, it couldn’t distinguish near future and far future influence. As a result, its forecasting application can’t reveal the short-term waved changes of variables. By using the method that is applied in M-estimation of robust regression to deal with outliers, we set up forecasting robust regression model. Our purpose is to add factors that economical variables are influenced by time sequence into regression model in its forecasting application. By empirical analysis, we also test and verify that this method indeed heighten the model’s forecasting precision.
引用
收藏
页码:42 / 45
页数:4
相关论文
共 2 条
[1]   回归分析的新进展——回归诊断 [J].
刘沛 .
中国卫生统计, 1989, (06) :51-55
[2]  
经济回归模型及计算[M]. 湖北科学技术出版社 , 童恒庆编著, 1997