| 非平稳时间序列的组合预测建模条件及应用 |
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| 引用本文： | 魏巍贤.非平稳时间序列的组合预测建模条件及应用[J].系统工程与电子技术,1998(6). |
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| 作者姓名： | 魏巍贤 |
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| 作者单位： | 中国矿业大学工商管理学院博士后流动站 |
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| 摘 要： | 本文考虑当被预测的时间序列变量为非平稳过程时，由单项预测构成组合预测的条件。研究发现组合预测中的任何一个单项预测，与被预测变量具有协整关系是构成组合预测的重要条件。最后，讨论汇率预测的组合建模问题。
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| 关 键 词： | 预测技术，数学模型，经济分析 |
Conditions of Forecast Combinations Under Non Stationary Time Series of Data and Their Applications |
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| Wei Weixian China University of Mining and Technology,Xuzhou.Conditions of Forecast Combinations Under Non Stationary Time Series of Data and Their Applications[J].System Engineering and Electronics,1998(6). |
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| Authors: | Wei Weixian China University of Mining and Technology Xuzhou |
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| Institution: | Wei Weixian China University of Mining and Technology,Xuzhou 221008 |
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| Abstract: | In this paper,I consider conditions of forecast combinations when the underlying processes are not stationary.I then examine what implications it has for the construction of combination forecast.I find it is essential that any forecast,used as a part of combination forecast,is co integrationed with the outcome.Finally,combined forecast of exchange rates is discussed. |
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| Keywords: | Forecast combination Non stationary Cointegration Unit root Exchange rates forecasting |
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