| 研究生: |
管紹曾 |
|---|---|
| 論文名稱: |
普通最小平方法、二段最小平方法與有限資訊最大槪似法所建推定量之比較 無 |
| 指導教授: | 祈富生 |
| 學位類別: |
碩士
Master |
| 系所名稱: |
商學院 - 統計學系 Department of Statistics |
| 論文出版年: | 1982 |
| 畢業學年度: | 70 |
| 語文別: | 中文 |
| 論文頁數: | 105 |
| 中文關鍵詞: | 無 |
| 相關次數: | 點閱:206 下載:0 |
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目錄
第一章 緒論1
第二章 無心韋夏分配6
第三章 大樣本下推定量的特性23
第一節 普通最小平方法26
第二節 二段最小平方法31
第三節 有限資訊最大概似法39
第四節 上述各種推定方法特性的比較57
第四章 推定量的確切樣本分配62
第一節 普通最小平方法63
第二節 二段最小平方法71
第三節 有限資訊最大概似法74
第四節 前述各方法樣本分配的比較84
第五章 結論97
參考資料
1. Anderson, T. W., The Non-central Wishart Distribution and Certain Problems of Multivariate Statistics”, Annals of Mathematical Statistics, Vol.17, 1946, pp.409-431.
2. _______, An Introduction to Multivariate Statistical Analysis, John Wiley & Sons, Inc., New-York, 1958.
3. _______, “Corrections to ‘Some Extensions of the Wishart Distribution’ and ‘The Non-central Wishart Distribution and Certain Problems of Multivariate Statistics,’ ”, Annals of Mathematical Statistics, vol.35, 1964, pp.923-924.
4. _______,and Girshick, M. A., “Some Extensions of the Wishart Distribution”, Annals of Mathematical Statistics , Vol.15, 1944, pp.345-357.
5. _______,and Rubin, H. , “Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations”, Annals of Mathematical Statistics, Vol.20, 1949, pp.46-63.
6. _______, “The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations”, Annals of Mathematical Statistics, Vol.21, 1950, pp.570-582.
7. Basmann, R. L. , “A Note on the Exact Finite Sample Frequency Functions of Generalized Classical Linear Estimators in Two Leading Overidentified Cases”, J.A. S. A., Vol.56, 1961, pp.619-636.
8. _______, “A Note on the Exact Finite Sample Frequency Functions of Generalized Classical Linear Estimators in a Leading Three Equation Case”, J, A. S. A. Vol.58, 1963, pp.161-171.
9. _______,Brown, F. L., Dawes, W. S., and Schoepfle, G.K., “Exact Finite Sample Density Functions of GCL Estimators of Structural Coefficients in a Leading Exactly Identifiable Case”, J. A. S. A., Vol.66, 1971, pp.122-126.
10. Dhrymes, P. J. , Econometrics-Statistical Fundations and Applications, Harper & Row, Publishers, New York, 1970.
11. Dutta, M., Econometric Methods, South-Western Publishing Co., Cincinnati, 1975.
12. Goldberger, A. S., Econometric Theory, John Wiley & Sons, Inc. , New York, 1964.
13. Graybill, F. A., Theory and Application of the Linear Model, Wadsworth Publishing Co. Inc., Belmont, Calif., 1976.
14. Hildebrand, F. B., Advanced Calculus for Applications, Second ed., Prentice-Hall, Inc., New Jersey, 1976.
15. Kabe, D. G., “A Note on the Exact Distribution of the GCL Estimators in Two Leading Over Identified Cases”,J. A. S. A., Vol.58, 1963, pp.535-537.
16. Mariano, R. S., “Approximations to the Distribution Functions of the Ordinary Least-Squares and Two-Stage Least-Squares Estimators in the Case of Two Included Endogenous Variables”, Econometrica, Vol.41, No.1, 1973, pp.67-77.
17. _______, and McDonald, J. B., “A Note on the Distribution Functions of LIML and 2SLS Structural Coefficient in the Exactly Identified Case”, J. A. S. A., Vol.74, 1979, pp.847-848.
18. _______,and Sawa, T. , “The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables”, J. A. S. A., Vol.67, 1972, pp.159-163.
19. Rainville, E. D., Special Functions, Macmillan Co. New York, 1960.
20. Richardson, D. H., “The Exact Distribution of a Structual Coefficient Estimators”, J. A. S. A., Vol. 63, 1968, pp.1214-1226.
21. Sawa, T. , “The Exact Sampling Distribution of Ordinary Least Squares and Two-Stage Least-Squares Estimators,” J. A. S. A., Vol.64, 1969, pp.923-937.
22. Slater, L. J., Confluent Hypergeometric Functions, University Press, Cambridge, 1960.
23. Theil, H., Principles of Econometrics, John Wiley & Sons, Inc. , New York, 1971.
24. Watson, G. W. , A Treatise on the Theory of Bessel Functions, MacMillan Company, New York, 1944.
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