| 研究生: |
梁志民 |
|---|---|
| 論文名稱: |
臺灣總體經濟數列長期趨勢與短期波動關聯之研究 |
| 指導教授: | 汪義育 |
| 學位類別: |
碩士
Master |
| 系所名稱: |
社會科學學院 - 財政學系 Department of Public Finance |
| 論文出版年: | 1990 |
| 畢業學年度: | 78 |
| 語文別: | 中文 |
| 論文頁數: | 77 |
| 相關次數: | 點閱:112 下載:0 |
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目錄
第一章結論…………1
第一節研究動機與目的…………1
第二節成長與波動:新古典隨機成長模型…………3
本章註釋…………9
第二章單變數非恆定性之檢定…………10
第一節單根檢定概說…………10
第一節增大的Dickey-Fuller檢定法…………13
第三節Phillips無母數單根檢定法…………14
第四節Perron之鉅變單根檢定法…………17
本章註釋…………23
第三章多變量非恆定動態模型設定及共積檢定…………25
第一節概說…………25
第二節共積檢定文獻回顧…………28
第三節Stock-Watson共同趨勢檢定法…………30
第四節模型動態分析…………35
本章註釋…………39
第四章台灣實證研究…………40
第一節單根檢定…………41
第二節多變量共同趨勢檢定…………43
第三節共同隨機趨勢對數列長短期之影響…………45
本章註釋…………48
第五章結論與建議…………49
附錄:資料定義及來源…………51
參考文獻
參考文獻
一、中文部份
1.汪義育(1985):“台灣物價與所得波動之探討-向量自迴歸模型分析之結論”中國經濟學會論文集。
2.汪義育(1989):“台灣景氣波動基本性質之分析”台大經濟系主編之,台灣景氣循環與經濟成長,研討會論文。
3.汪義育(1989):總體經濟時間數列分析之方法與運用。台北:華泰。
4.汪義育(1990):“台灣貨幣與所得間因果關係之研究”中研院經濟所,台灣金融情勢與物價問題,研討會論文。
5.蔡麗茹(1988):“台灣總體經濟變數之因果關係檢定”國立政治大學國際貿易研究所碩士論文。
二、英文部分:
1. Banerjee.A., R. L. Lumsdaine. and J. H. Stock (1990): "Recursive and Sequential Tests of the Unit Root and Trend Break Hypotheses:Theory and International Evidence," NBER Working Paper No. 3510
2. Beveridge.S., and C. R. Nelson (1981): "A New Approach to Decomposition of Economic Time Series into Permanent and Transitory Components with Particular Attention to Measurement of the Business cycle," Journal of Monetary Economics.7.151-174.
3. Billingsley. P. (1968): Convergence of Probability Measures. New York: John Wiley.
4. Brock. W., and L. Mirman (1972): "Optimal Economic Growth and Uncertainty: The Oiscounted Case," Journal of Economic Theory.4,479-513.
5. Campbell. J. Y ., and N.G. Mankiw (1987a): "Are Output Fluctuations Transitory?" Quarterly Journal of Economics,102.857-880.
6. Campbell, J. Y., and N. G. Mankiw (1987b): "Permanent and Transition Components in Macroeconomic Fluctuations." American Economic Review.Papers and Proceedings.77.111-117.
7. Cochrane.J. H. (1988): "How Big Is the Random Walk in GNP?" Journal of Political EconoIDY.96.893-920.
8. Cochrane,J. H ., and A.M. Sbordone (1988): "Multivariate Estimates of the Permanent Components of GNP and Stock Prices," Journal of Economic Dynamics and Control,12,255-296.
9. Dickey,D. A., and W.A. Fuller (1979): "Distribution of the Estimators for Autoregressive Time Series with a Unit Root," Journal of the American Statistical Association. 74,427-431.
10. Dickey,D. A., and W. A. Fuller (1981): "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica,49,1057-1072.
11. Eichenbaum,M. (1990): "Real Business Cycle Theory: Wisdom or Whimsy?" NBER Working Paper No. 3432.
12. Engle,R. F., and C.W. J. Granger (1987): "Cointegration and Error Correction: Representation, Estimation and Testing,"Econometrica, 55,251-276.
13. Fuller,V. A. (1976): Introduction to Statistical Time Series. New York: John Wiley and Sons.
14. King,R. G., C. I. Plosser. and S. T. Rebelo (1988): "Production,Growth and Business Cycles. I. The Basic Neoclassical Model,"Journal of Monetary Economics,21.195-232.
15. King,R. G., C. I. Plosser, and S. T. Rebelo (1988): "Production,Growth and Business Cycles. II.New Directions," Journal of Monetary Economics,21,309-341.
16. King,R. G., C. I. Plosser, J.H. Stock, and M.W. Watson (1987): “Stochastic Trends and Economic Fluctuations." NBER Working Paper No. 2229.
17. KYdland, F., and E. Prescott (1982): "Time to Build and Aggregate Fluctuations," Econometrica,50.1345-1370.
18. Long,J., and C. I. Plosser (1983): "Real Business Cycle," Journal of Political Economy,91 ,39-69.
19. McCallum,B. (1988): "Real Business Cycle Models," NBER Working Paper No. 2480.
20. Nelson,C., and C. Plosser (1982): "Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications,"Journal of Monetary Economics,10,139-162.
21. 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.
22. Perron,P. (1989): "The Great Crash, The Oil Price Shock, And the Unit Root Hypothesis," Econometrica,57,1361-1401.
23. Phillips,P. C. B. (1987): "Time Series Regression with Unit Roots,"Econometrica,55,277-302.
24. Phi11ips, P. C. B. (1988): "Regression Theory for Near-Integrated Time Series," Econometrica, 56, 1021-1043.
25. Phillips,P. C. B., and S. Ouliaris (1988): "Testing for Co-Integration Using Principal Components Methods," Journal of Economic Dynamics and Control,12,205-230.
26. Phillips,P. C. B., and S. Ouliaris (1990): "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica,58,165-193.
27. Phillips,P. C. B., and P. Perron (1988): "Testing for a Unit Root in Time Series Regression," Biometrika,75,335-346.
28. Prescott,E. C. (1986): "Theory Ahead of Business Cycle Measurement," Federal Reserve Bank of Minneapolis,Quarterly Review,Fall,9-22.
29. Said,S.E., and D.A. Dickey (1984): "Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order,”Biometrika,71,599-608.
30. Sargan,J. D., and A. Bhargava (1983): "Testing the Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk," Econometrica, 51, 153-174.
31. Schwert,G. W. (1987): "Effects of Model Hisspecification on Tests for Unit Roots in Macroeconomic Data," Journal of Monetary Economics,20,73-103.
32. Schwert,G. W. (1988): "Tests for Unit Roots: A Monte Carlo Investigation," NBER Technical Working Paper No. 73.
33. Sims,C. A. (1980): "Macroeconomics and Reality," Econometrica, 48,1-47.
34. Sims,C. A., and J.H. Stock, and H.W. Watson (1990): "Inference in Linear Time Series Models with Some Unit Roots," Econometrica,58,113-144.
35. Stock,J. H. (1987): "Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors," Econometrica,55,1035-1056.
36. Stock,J. H., and M. W. Watson (1988): "Testing for Common Trends,"Journal of American Statistical Association,83,1097-1107.
37. Stock,J. H., and M.W. Watson (1989): "Intepreting the Evidence on Honey-Income Causality," Journal of Econometrics,40,161-181.
38. Summers,L. H. (1986): "Some Skeptical Observations on Real Business Cycle Theory," Federal Reserve Bank Of Minneapolis,Quarterly Review,Fall,23-27.
39. White,H. (1984): Asymptotic Theory for Econometricians. New York:Academic Press.
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