一种基于改进的Akaike信息准则的相关关系检测的新方法

中国管理科学 ›› 1998, Vol. ›› Issue (3): 50-54.

一种基于改进的Akaike信息准则的相关关系检测的新方法

张明玉, 邬文兵

北方交通大学工商管理系 100044

收稿日期:1998-04-20 出版日期:1998-09-28 发布日期:2012-03-06
基金资助:
国家教委资助,项目号 96JAQ790005

A Novel Approach on relationship Test based on an Improved Akaike Information criterion

Zhang Mingyu, Wu Wenbing

Dept. of Business and Administraiton, Northern Jiaotong University, Beijing

Received:1998-04-20 Online:1998-09-28 Published:2012-03-06

摘要/Abstract

摘要： 本文基于改进的Akaike信息准则(AICC),建立了一种专门适用于小样本随机变星相关关系检测的新方法。这种方法不仅把AICC准则从AR模型推广到ARMA模型,而且增加了自变量的筛选过程,使方法既是最优的又是最简的。通过分析改革以来我国宏观经济变量的相关关系,证明了方法的有效性。

关键词: AICC准则, ARMA模型, 相关关系, 宏观经济分析

Abstract: In this paper,a novel approach on relationship test based on improved Akaike information criterion is derivedand examined to be especially suitable for small samples.In the model,not only the AICC criterion is generated fromthe AR case to the ARMA case,but also all the insignificant variabbles in the forecasting equations are removed.Allthese make the forecasting model both optimal and simple.By the macroeconomic analysis since China’s reform,theapproach is verified.

Key words: AICC criterion, ARMA model, Relationship, Macroeconomic analysis

张明玉, 邬文兵. 一种基于改进的Akaike信息准则的相关关系检测的新方法[J]. 中国管理科学, 1998, (3): 50-54.

Zhang Mingyu, Wu Wenbing. A Novel Approach on relationship Test based on an Improved Akaike Information criterion[J]. Chinese Journal of Management Science, 1998, (3): 50-54.