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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。
Based on the “diffusion index ” model proposed by Stock and Watson, this paper establishes a two-step “diffusion index ” forecasting model and applies it to forecast the economic growth rate in Heilongjiang Province. In addition to following Stock and Watson’s approach, this paper also divides variables into commodity market variables and money market variables according to their characteristics, and then estimates their diffusion indices respectively for various market variables and forecasts them based on these indices. The empirical results show that the “diffusion index” forecasting model has rather good forecasting performance and is superior to the general model forecasting, so it can be used as another alternative for the overall economic forecast in the future.