| 研究生: |
蔡麗茹 |
|---|---|
| 論文名稱: |
總體數列之非恆定計量方法與應用 |
| 指導教授: | 汪義育 |
| 學位類別: |
博士
Doctor |
| 系所名稱: |
社會科學學院 - 經濟學系 Department of Economics |
| 論文出版年: | 1992 |
| 畢業學年度: | 80 |
| 語文別: | 中文 |
| 論文頁數: | 156 |
| 相關次數: | 點閱:103 下載:0 |
| 分享至: |
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第一章緒論..........1
第一節研究動機..........1
第二節研究大綱與本文貢獻..........3
本章註解..........5
第二章非恒定漸近理論與單根文獻回顧..........6
第一節累績過程之迴歸漸近分配理論..........7
第二節單變數單根模型統計推論之文獻分析..........18
2.2.1單變數AR模型,誤差項為i.i.d之單根檢定..........18
2.2.2單變數AR(1)模型,誤差項非為i.i.d之單根檢定..........21
2.2.3單變數ARIMA(p.1.q);p,q為未知數的單根檢定..........23
2.2.4虛假迴歸關係..........25
2.2.5傳統標準分配適用於單根模型的情形..........25
本章註解..........28
第三章單變數單根檢定的新方法..........31
第一節近單根理論..........31
3.1.1近單根的漸近分配..........32
3.1.2單根檢定的檢力函數..........36
3.1.3近單根之漸近信賴區間..........37
第二節單根檢定之貝氏方法..........40
3.2.1古典單根檢定方法之缺點..........40
3.2.2單根檢定的貝氏分析-沒有確定項的簡單AR(1)情形..........41
3.2.3單根檢定的貝氏分析-具有確定項AR(1)的情形..........44
第三節結構性變動下的單根檢定..........49
3.3.1Perron結構性變動之單根檢定..........49
3.3.2Banerjee et.al結構性變動與單根檢定..........55
3.3.3Perron與Banerjee et.al單根檢定方法之修正..........57
本章註解..........60
第四章多變數之非恒定理論..........63
第一節共積模型之基本特性..........63
4.1.1共績過程與誤差修正模型..........63
4.1.2共績與共同趨勢表現式..........65
4.1.3共積變數之共變異矩陣特性..........66
第二節共績檢定文獻回顧..........69
4.2.1以共績迴歸殘差為基礎的檢定方法..........69
4.2.2Stock & Watson的共同趨勢檢定..........71
4.2.3Johansen的最大概似檢定法..........74
第三節近共積(Near cointegrated)理論..........79
本章註解..........84
第五章實證研究..........86
第一節Monte-Carlo模擬分析..........86
511以正規化誤差建立近單根漸近信賴區間..........86
512容許結構變動之單根統計檢定量模擬分析..........91
第二節單變數模型之實証分析..........103
521結構變動下的單根檢定..........103
522無結構變動之單根檢定..........106
523單根之貝氏檢定..........109
524近單根信賴區間之建立..........111
第三節共績檢定..........114
本章註解..........119
第六章結論與建議..........120
(附錄一)Wiener隨機過程或Brown運動..........122
(附錄二)泛函中央極限定理..........123
(附錄三)第一章相關定理之証明..........126
(附錄四)(表A5-1)近單根之實証分配表..........136
(附錄五)實証分析變數之圖形..........140
參考文獻..........143
一﹒中文部份
參考文獻
【1】汪義育(民國78年):總體經濟時間數列分析之方法與應用。台北:華泰。
【2】梁志民(民國79年):「台灣總體經濟數列長期趨勢與短期波動關聯之研究」,國立政治大學財政研究所論文。
【3】張淑玲(民國80年) :「總體時間數列非恆定性之研究」,國立政治大學國際貿易研究所論文。
【4】楊浩二(民國73 年):多變量統計方法。台北:華泰。
二﹒英文部份
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