跳到主要內容

簡易檢索 / 詳目顯示

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:
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報

  • 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
    參考文獻
    [1] Ahtola,J.& G.C.Tiao(1984): "Parameter Inference for a
    Nearly Nonstationary First Order Autorgressive Model,"Biometrika, 71, 263-272.
    [2] Amerniya,T.(1985):Advanced Econometrics, Carnbridge, Massachusetts:
    Harvard University Press.
    [3] Anderson,T.W.(1959): "On Asyrnptotic Distributions of Estirnates
    of Parameters of Stochastic Difference Equations," Annals
    of iVIathematical Statistics, 30, 676-687.
    [4] Banerjee,A . ,R.L.Lumsdaine,& ,J .H.Stock(1990): "Recursive
    and Sequential Tests of the Unit Root & Trend Break Hypothesis:
    Theory & International Evidence," NBER Working Paper, No.3510
    [5] Bhargava,A.(1986): "On the Theory of Testing for Unit Roots
    in Observed Time Series," Review of Economic Studies, 53,369-384.
    [6] Billingsley,P.(1968): "Convergence of Probability Measures.
    New York: John Wiley."
    [7] Chan,N.H.(1988): "The Parameter Inference for Nearly Nonstationary
    Time Series," Journal of the American Statistical Association, 83, 857-862.
    [8] Chan,N.H.and C.Z.Wei(1987): "Asymptotic Inference for
    Nearly N onstationary AR( 1) Process," Annals of Statistics,15, 1050-1063.
    [9] Christiano,L.,J .(1988): "Searching for a Break In GNP,"
    NBER Working Paper No. 2695.
    [10] Chu,C.S.,James & White,H.(1991): "Testing for Structure
    Change in Some Simple Time Series Models," San Diego Dept.
    of Economics, Discussion Paper No. 91-06.
    [11] Dejong,D.N.,Nankervis,N.E.& C.H.Whiteman (1989): "Integration
    Versus Trend-Stationary in Macroeconornic Time Series,"
    , University of Iowa Dept. of Economics Working paper No. 89-31.
    [12] Dejong,D.N.and C.H.Whiteman (1990): "Unit Roots in
    Macroeconomic Time Series: A Survey 6f Classical & Bayesian
    Perspectives," University of Iowa Dept. of Economics Working
    paper No 90-16.
    [13] Dickey,D.A.and W.A.Fuller(1979): "Distribution of the Estimates
    for ,Autoregressive Time Series with a Unit Root,"Journal of the American Statistical Association, 74, 427-431.
    [14] Dickey,D.A.and W.A.Fuller(1981): "Likelihood Ratio Statistics
    for Autoregressive Time Series with a Unit Root," Econometrica,49, 753-779.
    [15] Engle,R.F.& C.W.J.Granger(1987): "Cointegration and Error
    Correction: , Representation,Estimation and Testing," Econometrica,55, 251-276.
    [16] Evans.G.B.A.& N.E.Savin(1981): "Testing for Unit Roots:l,"
    Econometrica, 49, 753-779.
    [17] Evans.G.B.A.& N.E.Savin(1984): "Testing for Unit Roots:2,"
    Econometrica,52, 1241-1269.
    [18] Fuller W.A.(1976): Introduction to Statistical Time Series.
    New York:John Wiley.
    [19J Granger,C.W.J.& P.Newbold(1974): "Spurious Regression in
    Econometrics," Journal of Econometrics, 2, 111-120.
    [20] Granger,C.W.J.& P.Newbold(1977): , Forecasting Economic
    Time Series, New York:Academic Press.
    [21] Granger,C.W.J.(1981): "Some Properties of Time Series Data
    & Their Use in Econometric Model Specification," Journal of
    Econometrics, 121-130.
    [22] Herrndorf,N.(1984): "A Functional Central Limit Theorem for
    Weakly Dependent Seqnences of Random Variables," Annals of
    Probability, 12, 141-153.
    [23] Hasza.D.P.& .A.W.Fuller(1979): "Estimation of Autoregressive
    Processes with Unit Roots·," Annals of Statistics, 7, 1106-1120.
    [24] Johansen,S.( 1988): "Statistical Analysis of Cointegration Vectors,"
    Journal of Economic Dynamics and Control, 12, 231-294.
    [25] Johansen,S.(1991): "Esitimation and Hypothesis Testing of
    Cointegration Vectors in Gaussian Vector Artoregressive Models,"
    Econometrica, 59, 1551-1580.
    [26] Johansen,S. & K. Juselius(1990) : "Maximum Lideligood Estimation
    and Inference on Cointegration-with Applications to
    the Demand for Money," Oxford Bulletin of Economics and
    Statistics, 52, 162-210.
    [27] Kasa,K.( 1992): "Common Stochastic TRends in International
    Stock Mardets," Journal of Monetary Economics, 29, 95-124.
    [28] Mann,H.B.and A.Wald(1943): "On the Statistical Treatment
    of Linear Sto'chastic Difference Equations," Econometrica, 11,
    173:-220.
    [29] Newey,W.K.and K.D.West(1987): "A Simple Positive Definite,
    Heteroskedasticity and Autocorrelation Consistent Covariance
    Matrix," Econometrica, 55, 703-708.
    [30] Mcleish,D .L.( 1975): "Invariance Principles for Dependent
    Variables," Z. Wahrscheinlichkeitstheorie und Verw. Gebiete,32, 165-178.
    [31] Nabeya,S.& K.Tanaka(1990a): "A General Approach to The
    Limiting Distribution Estimators in Time Series Regression
    with Nonstable Autoregressive Errors" Econometrica, 58, 145-163.
    [32] Nabeya,S.& K.Tanaka(1990b): "Limiting power of Unit Root
    Tests in Time Series Regression," Journal of Econometrics,46, 247-271.
    [33J Nelson,C.R.and C. Ploser(1982): "Trends and Random Walks
    in Macroeconomic Time Series: Some Evidence and Implications,"
    Journal of Monetary Economics,10, 139-162.
    [34] Oksendal,B.(1985): Stochastic Differential Equations,Springer-Verlag .
    [35] Park,J.Y.and P.C.B.Phillips(1988): "Statistical Inference in
    Regressions with Integrated Processes: Part 1," Econometric Theory, 4, 468-497.
    [36] Park,J.Y.and P.C.B.Phillips(1989): "Statistical Inference in
    Regressions with Integrated Processes: Part 2," Econometric
    Theory, 5, 95-131.
    [37] Perron,P.(1988): "Trends and Random Walks in Macroeconomic
    Time Series:Further Evidence from a New Approach,"
    Journal of Economic Dynamics and Control, 12, 297-332.
    [38} Perron,P.(1989): "The Calculation of the Limiting Distribution
    of the Least Squares Estimator in a Near-integrated
    Model," Econometric Theory,5, 241-255.
    [39] Perron,P.(1989): "The Great Crash,the Oil Price Shock,and
    the Unit Root Hypothesis," EGonometrica, 57,1361-1401.
    [40] Perron,P.(1990): Time Series Econometrics, Lecture Notes for
    Econ.513 Dept. of Economics, Princeton University.
    [41] Perron,P.(1990): " Tests of Joint Hypothesis for Time Series
    Regression with a Unit Root," Advances in Econometrics,vol.8 135-160.
    [42] Phillips,P.C.B.& S.N.Durlauf(1986): "Multiple Time Series
    Regression with Integrated Processes," Review of Economic
    Studies, 53, 473-486.
    [43] Phillips,P.C.B.(1986): "Understanding Spurious Regressions
    in Econo111etrics," Journal of Econometrics, 33, 311-240.
    [44] Phillips:P.C.B.(1987a): "Tinle Series Regression with a Unit
    Root," Econometrica, 55, 277-301.
    [45] Phillips,P.C.B.(1987b): "Towards a Unified Asymptotic Theory
    for Autoregression," Biometrika, 74, 535-547.
    [46] Phillips,P.C.B.(1987c): "Asymptotic Expansions In Nonstationary
    Vector Autogressions," Econometric Theory, 3, 45-68.
    [47J Phillips,P.C.B.(1988a): "Regression Theory for Nearintegrated
    Time Series," Econometrica, 56, 1021-1043.
    [48] Phillips,P.C.B.(1988b): "Weak Convergence to the Matrix
    Stochastic Integral J EdE' ," Journal of rvIultivariate Analysis,24, 252-264.
    [49] Phillips,P.C.B.and P.Perron(1988): "Testing for a Unit Root
    in Time Series Regression," Biometrika, 75, 335-346.
    [50] Phillips,P.C.B. & S. Ouliaris(1988): "Testing for Coingegration
    Using Principal Components rvIethods, " Journal of Economics
    Dynamics and Control, 12, 205-230.
    [51] Phillips,P.C.B. & S. Ouliaris(1990): "Asymptotic Properties
    of Residual Based Tests for Cointegration," Econometrica, 58,165-193.
    [52] Phillips,P.C.B.(1991): "To Criticize the Critics: An Objective
    Bayesian Analysis of Stochastic Trends," Journal of Applied
    Econometics, 6, 333-364.
    [53] Quah,D.& J.M.Wooldriclge(1988): "A Common Error in the
    Treatnlent of Trending Time Series," Massachusetts Institute
    of Technology. Department of Economics. working paper No.483.
    [54] Said S.E.,(1991): "Unit Roots Test for Time Series Data with
    a Linear Time Trend," Journal of Econometrics., 47 ,285-303.
    [55] Said S.E.and D.A.Dickey(1984): "Testing for Unit Roots in
    ARNIA(p,q) Model with Unknown p and q," Biometrika, 71,599-607.
    [56] Schidmidt,P.(1990): "Dickey-Fuller Test with Drift," Advances
    in Econometrics, vol.8 161-200.
    [57] Schotman,P.C.& H.K.van Dijk(1991a): "A Bayesian Analysis
    of the Unit Root in Real Exchange Rates," Journal of Econometrics,
    49, 195-238.
    [58] Schotman,P.C.& H.K.van Dijk(1991b): "On Bayesian Routes
    to Unit Roots," Institute for Empirical Macroeconomics Minneapolis
    ,Disscussion Paper No 43.
    [59] Schwert, G. W. (1 987): "Effects of Model Specification on Tests
    for Unit Roots in Macroeconomic data," .Journal of Monetary
    Economics, 20, 73-103.
    [60] Schwert,G.W.(1989): "Tests for Unit Roots:A Tvlonte Carlo
    Investigation," .Journal of Business and Economic Statistics,
    7,147-160.
    [61] Shiller,R.J. & P. Perron(1985): "Testing the Random Walk
    Hypothesis: Power Versus Frequency of Observation," Economics
    Letters, 18, 381-386.
    [62] Sims,C.A.(1988): "Bayesian Skepticism on Unit Root Econometrics,"
    Journal of Economic Dynamics and Control, 12,463-474.
    [63] Sims,C.A.,J.H.Stock)and i\lI.W.Watson(1990): "Inference in
    Linear Time Series iVlodels with Some Unit Roots," Econometrica,
    58, 113-144.
    [64] Stock,J.& M.W. Watson(1988): "Testing for Common
    Trends," Journal of the American Statistical Association, 83,1097-1107.
    [65] Stock,.J.H.(1991): "Confidence Intervals for the Largest Autoregressive
    Root in U.S.Macroeconornic Time Series," Journal
    Of Monetary Monetary Economics, 28, 435-459.
    [66] West,K.D.(1988): "Asymptotic Normality when Regressors
    have a Unit Root," Economictrica, 56, i397-1417.
    [67] White,J.S.(1958): "The Limiting Distribution of the Serial
    Correlation Coefficient in the Explosive Case," Annals of
    Mathematical Statistics, 29, 1188-1197.
    [68] White,H.(1984): Asymptotic Theory for Econometricians,
    New York:Acadernic Press.

    無法下載圖示 (限達賢圖書館四樓資訊教室A單機使用)
    QR CODE
    :::