FORECASTING CHINA'S FOREIGN TRADE VOLUME WITH A KERNEL-BASED HYBRID ECONOMETRIC-AI ENSEMBLE LEARNING APPROACH

作     者：Lean YU Shouyang WANG Kin Keung LAI Lean YU Shouyang WANG Kin Keung LAI Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences,Beijing 100080, China. Department of Management Sciences, City University of Hong Kong, Tat Chee Avenue, Kowloon, Hong Kong, China.

作者机构：Institute of Systems Science Academy of Mathematics and Systems Science Chinese Academy of Sciences Beijing 100080 China. Department of Management Sciences City University of Hong Kong Tat Chee Avenue Kowloon Hong Kong China. 

出 版 物：《Journal of Systems Science & Complexity》 (系统科学与复杂性学报（英文版）)

年 卷 期：2008年第21卷第1期

页      面：1-19页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020206[经济学-国际贸易学] 

基　　金：the National Natural Science Foundation of China under Grant Nos.70601029 and 70221001 the Knowledge Innovation Program of the Chinese Academy of Sciences under Grant Nos.3547600,3046540,and 3047540 the Strategy Research Grant of City University of Hong Kong under Grant No.7001806 

主　　题：Artificial neural networks error-correction vector auto-regression foreign trade prediction hybrid ensemble learning kernel-based method support vector regression. 

摘      要：Due to the complexity of economic system and the interactive effects between all kinds of economic variables and foreign trade, it is not easy to predict foreign trade volume. However, the difficulty in predicting foreign trade volume is usually attributed to the limitation of many conventional forecasting models. To improve the prediction performance, the study proposes a novel kernel-based ensemble learning approach hybridizing econometric models and artificial intelligence (AI) models to predict China s foreign trade volume. In the proposed approach, an important econometric model, the co-integration-based error correction vector auto-regression (EC-VAR) model is first used to capture the impacts of all kinds of economic variables on Chinese foreign trade from a multivariate linear anal- ysis perspective. Then an artificial neural network (ANN) based EC-VAR model is used to capture the nonlinear effects of economic variables on foreign trade from the nonlinear viewpoint. Subsequently, for incorporating the effects of irregular events on foreign trade, the text mining and expert s judgmental adjustments are also integrated into the nonlinear ANN-based EC-VAR model. Finally, all kinds of economic variables, the outputs of linear and nonlinear EC-VAR models and judgmental adjustment model are used as input variables of a typical kernel-based support vector regression (SVR) for en- semble prediction purpose. For illustration, the proposed kernel-based ensemble learning methodology hybridizing econometric techniques and AI methods is applied to China s foreign trade volume predic- tion problem. Experimental results reveal that the hybrid econometric-AI ensemble learning approach can significantly improve the prediction performance over other linear and nonlinear models listed in this study.