【摘要】：研究目標:基于互聯網大數據構建CPI輿情指數輔助預測CPI。研究方法:提出了一種構建CPI低頻與高頻輿情指數的統(tǒng)計方法,并通過選用2006年6月至2015年12月的數據驗證了該方法的有效性。研究發(fā)現:相關關鍵詞的搜索熱度指標具有領先CPI的預測作用,依此建立的CPI輿情指數有助于改進CPI預測精度。研究創(chuàng)新:揭示了基于相關關鍵詞的搜索熱度指標與CPI的非線性關系,提出了一種基于門限回歸的CPI低頻輿情指數構建方法;使用動態(tài)因子模型估計出了CPI高頻輿情指數。研究價值:預測CPI時可輔助利用基于大數據構建的CPI低頻與高頻輿情指數信息。
[Abstract]:Objective: to construct CPI Public opinion Index aided Prediction CPI. based on Internet big data Research methods: a statistical method of constructing CPI low frequency and high frequency public opinion index is proposed. The validity of this method is verified by selecting the data from June 2006 to December 2015. It is found that the search heat index of relevant keywords can predict the leading CPI, and the CPI public opinion index is helpful to improve the accuracy of CPI prediction. Research innovation: the nonlinear relationship between search heat index based on relevant keywords and CPI is revealed, a method of constructing CPI low frequency public opinion index based on threshold regression is proposed, and the CPI high frequency public opinion index is estimated by using dynamic factor model. Research value: the low frequency and high frequency public opinion index information of CPI based on big data can be used to predict CPI.
【作者單位】： 中南財經政法大學統(tǒng)計與數學學院;中國人民銀行長沙中心支行調查統(tǒng)計處;
【基金】：中南財經政法大學一流學科建設項目“大數據統(tǒng)計預測與決策方法研究”的資助
【分類號】：F49;F726

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