浣犳槸涓嶆槸缁忓父鐪嬪埌鍒汉鐢≧璇█鍋氭贩棰戝垎鏋愶紝鑷繁鍗存€诲崱鍦ㄧ涓€姝ワ紵鍒厡锛佷粖澶╁挶浠氨鐢ㄦ渶鎺ュ湴姘旂殑鏂瑰紡锛屾墜鎶婃墜甯︿綘閫氬叧杩欎釜鐪嬩技楂樺ぇ涓婄殑鎶€鑳藉寘銆傚噯澶囧ソ浜嗗悧锛熷挶浠繖灏卞彂杞︼紒馃殌

馃幆 绗?姝ワ細鎼炴噦娣烽鍒嗘瀽鍒板簳鏄釜鍟ワ紵

鍏堟潵涓伒榄傛嫹闂細涓哄暐瑕佹妸涓嶅悓棰戠巼鐨勬暟鎹贩鍦ㄤ竴璧峰垎鏋愶紵涓句釜鏍楀瓙馃尠锛屽氨鍍忔妸鍜栧暋鍜岀墰濂舵贩鍚堟悈鎷岋紝鎵嶈兘寰楀埌棣欐祿鐨勬嬁閾併€傛贩棰戝垎鏋愬氨鏄妸涓嶅悓鏃堕棿缁村害鐨勬暟鎹紙姣斿鏃ユ暟鎹拰鏈堟暟鎹級铻嶅悎鍒嗘瀽锛屽彂鐜伴殣钘忕殑鍏宠仈瑙勫緥銆?/p>

鈥?strong>鈥嬮噸鐐规潵浜嗏€?/strong>鈥嬶細

• 娣烽 鈮?绠€鍗曞悎骞舵暟鎹?/li>
• 鏍稿績鏄鐞嗕笉鍚岄鐜囩殑鏃堕棿搴忓垪
• 鏈€甯哥敤MIDAS妯″瀷锛堝埆琚悕瀛楀悡鍒帮紝鍏跺疄寰堢畝鍗曪級

甯歌鏂版墜璇尯锛氱洿鎺ュ垹闄ら珮棰戞暟鎹紒杩欏氨鍍忔妸鍜栧暋璞嗙洿鎺ユ墧鎺夛紝鍙枬鐧藉紑姘翠竴鏍锋氮璐硅祫婧愩€?/p>

馃捇 绗?姝ワ細鍑嗗浣犵殑R璇█瑁呭搴?/h3>

宸ユ鍠勫叾浜嬶紝蹇呭厛鍒╁叾鍣ㄣ€傚挶浠渶瑕佽繖浜涜澶囷細

r澶嶅埗
install.packages(c("midasr","tidyverse","lubridate"))
library(midasr)
library(tidyverse)
library(lubridate)

鈥?strong>鈥嬭澶囪鏄庘€?/strong>鈥嬶細

• midasr锛氭贩棰戝垎鏋愮鍣?/li>
• tidyverse锛氭暟鎹鐞嗗叏瀹舵《
• lubridate锛氭椂闂村鐞嗗皬鑳芥墜

鈿狅笍娉ㄦ剰锛氬畨瑁呭け璐ユ€庝箞鍔烇紵璇曡瘯闀滃儚婧愶紒鍥藉唴鐢ㄦ埛鎺ㄨ崘娓呭崕婧愶細

r澶嶅埗
options(repos = c(CRAN="https://mirrors.tuna.tsinghua.edu.cn/CRAN/"))

---

馃搳 绗?姝ワ細鏁版嵁棰勫鐞嗗疄鎴?/h3>

鎷夸釜鐪熷疄妗堜緥璇磋瘽锛佸亣璁炬垜浠鍒嗘瀽锛?/p>

• 姣忔棩鑲′环鏁版嵁锛堥珮棰戯級
• 瀛ｅ害GDP鏁版嵁锛堜綆棰戯級

鈥?strong>鈥嬪鐞嗚鐐光€?/strong>鈥嬶細

1. 鏃ユ湡鏍煎紡缁熶竴鍖?/li>
2. 缂哄け鍊煎鐞?/li>
3. 鏁版嵁瀵归綈

r澶嶅埗
# 鍒涘缓绀轰緥鏁版嵁
stock_price <- tibble(
  date = seq(as.Date("2023-01-01"), by="day", length.out=90),
  price = rnorm(90, mean=100, sd=5)
)

gdp_data <- tibble(
  quarter = c("2023-Q1","2023-Q2"),
  gdp = c(115,118)
)

---

馃敡 绗?姝ワ細妯″瀷鏋勫缓涓庡弬鏁拌皟璇?/h3>

杩欓噷鏈変釜瓒呭疄鐢ㄥ彛璇€锛氣€?strong>鈥嬩笁鐪嬩笁璋冣€?/strong>鈥?/p>

• 鐪婣IC鍊?鈫?璋冩ā鍨嬪鏉傚害
• 鐪嬫畫宸浘 鈫?璋冨弬鏁拌缃?/li>
• 鐪嬮娴嬫晥鏋?鈫?璋冩潈閲嶅嚱鏁?/li>

r澶嶅埗
# MIDAS妯″瀷鏋勫缓
model <- midas_r(
  price ~ mls(gdp, 0:2, 3, nealmon),
  data = list(price=stock_price, gdp=gdp_data)
)

鈥?strong>鈥嬪弬鏁拌В璇烩€?/strong>鈥嬶細

• 0:2锛?涓粸鍚庨」
• nealmon锛氭潈閲嶅嚱鏁扮被鍨?/li>
• 3锛氬搴︽暟鎹鐜?/li>

---

馃搱 绗?姝ワ細缁撴灉瑙ｈ涓庡彲瑙嗗寲

妯″瀷璺戝畬浜嗭紝鎬庝箞鐪嬬粨鏋滐紵璁颁綇杩欎釜鍙ｈ瘈锛氣€?strong>鈥嬩竴鍥捐儨鍗冭〃鈥?/strong>鈥?/p>

r澶嶅埗
# 缁撴灉鍙鍖?/span>
plot_midas_coef(model) + 
  ggtitle("娣烽妯″瀷绯绘暟鍙鍖?) +
  theme_minimal()

鈥?strong>鈥嬭В璇绘妧宸р€?/strong>鈥嬶細

• 绯绘暟鏄捐憲鎬х湅*鍙?/li>
• 鎷熷悎浼樺害鐪婻虏
• 棰勬祴鏁堟灉鐪嬫畫宸垎甯?/li>

馃挕 鐙瑙佽В锛氭贩棰戝垎鏋愮殑涓変釜闅愯棌鎶€宸?/h3>

1. 鈥?strong>鈥嬫暟鎹鐜囦笉鏄秺澶氳秺濂解€?/strong>鈥?鈫?寤鸿涓嶈秴杩?绉嶉鐜囨贩鍚?/li>
2. 鈥?strong>鈥嬫潈閲嶅嚱鏁伴€夋嫨鏈夎绌垛€?/strong>鈥?鈫?璇曡瘯beta鍑芥暟姣攏ealmon鏇寸伒娲?/li>
3. 鈥?strong>鈥嬮獙璇佹ā鍨嬪埆鍙敤鏍锋湰鍐呪€?/strong>鈥?鈫?涓€瀹氳鍋氭牱鏈棰勬祴娴嬭瘯

鏍规嵁鏈€鏂扮爺绌讹紝鍚堢悊浣跨敤娣烽鍒嗘瀽鍙互浣块娴嬪噯纭巼鎻愬崌23%-45%锛堟暟鎹潵婧愶細Journal of Econometrics, 2023锛夈€備笉杩囪娉ㄦ剰锛屽埆闄峰叆"妯″瀷瓒婂鏉傝秺濂?鐨勮鍖猴紒

---

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