Title: A Time Series Approach to Econometric Models of Taiwan's Economy

Speaker: Prof. George. Tiao

Honorary Professor of PKU

Time: May 10^th(Thursday),10:00-12:00am

Location: Room201,GSM

Abstract: Using quarterly Taiwan economic data, this work shows that deeper understanding of relations between variables and appreciable gains in foresting can be obtained by applying appropriate statistical tools to modify traditional macro-econometric models. The improvement in forecasting accuracy is illustrated by out-of-sample forecasts, and the models employed in the comparison include univariate time series models, macro-econometric models and combined models in which time series techniques are used to describe the dynamic structure of the residual series of econometric models. We also considers various issues related to forecasting such as aggregation and model misspecification.