【摘要】：資產定價模型選擇問題是實證金融研究領域一個基本的問題。AIC、BIC是模型選擇中常用的兩個信息準則�？墒�,在實際應用中,AIC通常需要假設備選模型均是真實模型,或者至少是真實模型的較好近似。BIC通常依概率1選擇真實模型,如果備選模型中沒有真實模型,BIC選出的模型不具備現實意義。文章基于Fama-French三因子模型,在模型錯誤指定下,首次運用TIC準則,選擇出模型集合中的最優(yōu)模型。實證分析表明,TIC與AIC、BIC間的結果差距是顯著的,從而說明了AIC、BIC的不可靠性,同時TIC也非常顯著地支持了Fama-French三因子模型,這加強了運用該模型進行實證研究的說服力。
[Abstract]:Asset pricing model selection is a basic problem in the field of empirical financial research. AIC and BIC are two common information criteria in model selection. However, in practical applications, AIC usually needs to assume that the alternative models are real models, or at least a better approximation of the real models. BIC usually selects the real models according to probability 1, if there is no real model in the alternative models. The model selected by BIC is not of practical significance. In this paper, based on the Fama-French three-factor model, the optimal model in the model set is selected by using the TIC criterion for the first time under the model error assignment. The empirical analysis shows that the result gap between TIC and AIC,BIC is significant, which shows the unreliability of AIC,BIC. At the same time, TIC also supports the Fama-French three-factor model very significantly. This strengthens the persuasion of using the model to carry on the empirical research.
【作者單位】： 中國人民大學漢青經濟與金融高級研究院;
【基金】：中國人民大學科研基金資助項目(34312027)
【分類號】：F224;F830.91

【共引文獻】

相關博士學位論文 前1條

1 王玉;剩余產量模型的研究[D];中國海洋大學;2013年

【相似文獻】

相關期刊論文 前10條

1 馬超群,高仁祥,鐘登華;關于計量經濟模型選擇的幾個準則問題[J];預測;1999年01期

2 幸理;;企業(yè)合作創(chuàng)新模型選擇探討[J];統計研究;2008年12期

3 王宙;魏Z，

本文編號：2474086