| 研究生: |
吳明修 Wu, Ming-Shou |
|---|---|
| 論文名稱: |
匯率、利率、貨幣供給、實質所得的共積關係 : Johansen Sequential Testing Procedure的應用 The Cointegration of Exchange、Interetest Rate、Money Supply、 Real GNP---the Application of Johansen Sequential Testing Procedure |
| 指導教授: |
饒秀華
Rao, Xiu-Hua |
| 學位類別: |
碩士
Master |
| 系所名稱: |
商學院 - 國際經營與貿易學系 Department of International Business |
| 論文出版年: | 1996 |
| 畢業學年度: | 84 |
| 語文別: | 中文 |
| 論文頁數: | 101 |
| 中文關鍵詞: | 共積 、非恆定 |
| 外文關鍵詞: | Non-stationary, Johansen sequential testing Procedure |
| 相關次數: | 點閱:236 下載:0 |
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本文的主要目的為比較不同模型或者不同檢定所產生的不同結果。選擇的遞延期數(lag)不同,則所得到的模型與共積數目也不一樣,使得不同遞延期數(lag)、不同模型 所得到的共積關係也不相同。所以本文將驗證在不同遞延期數下,所得到的不同模型共積關係的表現。因此希望利用Johansen Sequential Testing Procedure來同時決定共積關係數目及資料產生過程(DGP),而且也能探討共積關係。但其仍有缺點,例如Johansen Sequential Testing Procedure所取的遞延期數不同則所選定的模型也將不一樣,另一點是共積係數的估計值只是一basis。
第一章緒論..........1
第一節研究動機與目的..........1
第二節研究架構..........3
第二章匯率決定理論模型及相關實證文獻..........4
第一節匯率決定理論模型..........4
2.1.1國際收支學派..........4
2.1.2貨幣學派..........5
第二節相關實證文獻..........7
2.2.1國外實證文獻..........7
2.2.2國內實證文獻..........8
第三章研究方法(一)..........11
第一節遞延期數的選擇..........11
第二節單根檢定..........13
3.2.1趨勢穩定過程(trend stationary process-TSP)與差分穩定過程(difference stationay process-DSP)..........13
3.2.2Dickey-Fuller Augment-Dickey-Fuller Phillips-Perron無母數之單根檢定..........16
第三節殘差項相關檢定..........26
3.3.1殘差項常態性的檢定..........26
3.3.2殘差項的序列相關檢定..........27
第四章研究方法(二)..........30
第一節共積之概念..........30
第二節Johansen最大概似檢定法..........32
4.2.1最大概似法..........32
4.2.2共整合向量與其數的檢定..........33
第三節Sequential Testing Procedure..........36
4.3.1H與H二模型..........36
4.3.2H與H二模型的漸近分配..........38
4.3.3H與H二模型的Sequential Testing Procedure..........39
第四節五種模型之比較..........44
4.4.1五種模型之假設與特性..........44
4.4.2五種模型之Johansen Procedure..........48
4.4.3五種模型之比較..........49
第五章實證分析..........53
第一節遞延期數之選擇..........53
第二節單根檢定..........55
第三節H與H二模型之比較及H與H二模型的Sequential Testing Procedure..........66
5.3.1模型H與H之比較..........66
5.3.2模型H與H之Sequential Testing Procedure..........67
第四節五種模型之比較..........72
5.4.1五種模型的共積數..........72
5.4.2五種模型之共積係數..........74
第六章結論..........81
附錄整合誤差修正模型的推導..........84
參考文獻..........86
一、中文部份
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二、英文部份
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