Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/89869
題名: 一般化動差估計分析方法資產訂價模型之應用
作者: 李沃牆
LI, WO-QIANG
貢獻者: 毛維凌
MAO, WEI-LING
李沃牆
LI, WO-QIANG
關鍵詞: 一般化動差估計法
資產訂價模型
蒙地卡羅模擬
資料產生過程
馬可夫過程
尢拉最適化條件
日期: 1992
上傳時間: 2-May-2016
摘要: Lucas(1976) 批評當時總體時間序列的計量分析方法,且主張傳統計量模型參數會隨體制及政策而改變,基於這些評論,於是許多對。嗜好(Taste)\"及\"技術\"(Technology)\" 結構參數估計的進論方法偭開始使用動態模型中的尤拉最適化條件(Euler Optimality Conditios)來進行估計。
Lucas(1976) criticized the existing strategies for econometricic analysis of macroeconomic time series and argues that papameters of traditional econometric models are not invariant with respect to shifts in policy regimes. In response to that criticism, several inference strategies for \"taste and technology\" structural parameter models using Euler optimality conditions in dynamic models were suggested.
參考文獻: [1] .毛慶生. (1991) \" GMM - Applied in Growth Theory\" , 政大經濟所演講稿.\r\n[2J: Aburdene. (1988) \"Computer Simulation of Dynamic system,\", ch5 .\r\n[3J:Amemiya.T. (1977)\" The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the Genenal Nonlinear Simulaneous Equation Model, \", Ecometrics,45,955-968.\r\n[4 J: Bong-Soo Lee. (1988) \"Solving, Estimating, and Testing a Nonlinear Stochastic Equilibrium Model, with an Example of the Asset Returns and Inflation Relationship,\", Journal of Economic Dynamics and Control, 13 ,499-531.\r\n[5]: Brown, D. P. and Michael R. Gibbons. (1985) \"A Simple Econometric Approach for utility-Based Asset Pricing Models,\" Journal of Finance, 359-381,`\r\n[6]: Cumby, R. E. et al. ( 1983) \"Two-Step Two-Stage Least Square s Estimation in Models with Rational Expectations, \" Journal of Econometrics, 21,333-355\r\n[7]: Eichenbaum Mratin S. and Hansen L.P. and Singleton (1988), \" A Time of Analysis Peferesemtative Agent Model Consumption and Leisure Choice under Uncer-tainly\" , The Quarterly Journal of Economics , 51-78.\r\n[8J: Erhan, Cinlar(1975), \"Introduction To Stochastic Process, \" Prentice-Hall.\r\n[9J: Ernest, J. M. and Wold H.O. (1970) \"Independent Systems Structure and Estimation\", North-Holland\r\n[10]: Francis, X. Brown And Paul D. Mcnlis (1990): \" Exchange Controls and\r\nInterest Rate Determination with Traded and Non-traded Assets:\r\nthe Irish- United Kingdom Experience, \" Georgetown University. Washington, DC, 20057, OSA\r\n[11]: Gallant, A. R. (1987).\" Nonlinear statistical Modeld,\" New York.\r\n[12]: Ghysels Eric and Hall Alastair (1990), \"A Test for structural stability of Euler Conditions Parameters Estimeted via the Generalized Method of Moments Eestimator, \" International Economics Review,31 ,355-364.\r\n[13]: Grossman, Stanford J. and Robert, J. Shiller (1981),\" The Determinants\r\nof the Variability of Market Prices, \" American Economic Review,71,222-227.\r\n[14]: Grossman Stanford J.(1977),\" Three-Stage Least-Squares Estimation for a System of Simulataneous, Nonlinear ,Implicit Equations, \" Journal of Econometr.ics,5,71-78.\r\n[15]: Hall, Bronwyn. H. (1991) \"Times Series Prossor (T.S.P),\" Version 4.2.\r\n[16]: Hansen,Lars peter(1982)\" Large Sample Properities of Generalized Method of Moments Estimators,\" Econometrica,50,1029-1054.\r\n[17]: _________________ (1983)\" A Method for Calculating Bounds on the Asymptotic Covariance Matrices of Generalized Method of Moments Estimators,\" Journal of Econometrics, 30, 203-238.\r\n[18] _________________ , And Kenneth J. Singleton: (1982)\" Generalized Instrument\r\nVariables Estimation of Nonlinear Rational Expectations Models \" Econometrica,; 50,1269-1286.\r\n[19] _________________ , And Kenneth. J. Singleton: (1983) \"Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Return,\" Journal of Political Economy, 91, 249-265\r\n[20]: Hendry, D. F. (1984), \"Monte Carlo Experimentation in Econometrics,\" in The Handbook of Econometrics, 2, pp.939-975.\r\n[21]: Judge, et al., (1988), \"Introduction to the Practice of Econometrics, 2nd, New York.\r\n[22]: Larry G. Epstein and Stanley E. Zin (1991),\"Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns an Empirical Analysis, \" Journal of Political Economy, 99,263-268.\r\n[23]: Longstaff, F. A. (1989), \"Temporal Aggregation and Continuous-Time\r\nAsset Pricing Model.\" Journal of Finance, no.4.\r\n[24]: ____________ ,(1989) \" A Nonlinear General Equilibrium Model of the\r\nTerm structure of Interest Rates, \" Journal of Econom.ics,23,195-224.\r\n(25]: Lucas, Robert E. (1978), \"Asset Pricing in an Exchange Econnomy ,\" Econometrica, 46, 1429 -14 45.\r\n[26]: Mackinlay, A. Craigand Mattew P. Richardson (1991) \"Using Generalized\r\nMethod of Moments to Mean-Variance Efficiency,\" Journal of Finance, 511-527.\r\n[27]: Mehra, Ranjnish and Edward C. Prescott, (1985) \"The Equity Premium,\" Journal of Monetary Economics, 15, 145-161.\r\n[28]: Nelson, C. Mark,(1988)\" Time-Varying Betas and Risk Premia in the Forward Foreige Exchange Contracts,\" Journal of Financial Economics, 22 ,335-354.\r\n[29]: Numan, Theo and Franz Palm, (1991) \"Generalized Least Square Estimation of Linear Models Containing Rational Future Expections,\" Internation Economic Review,32,383-394.\r\n[30]: Newey, Whitney. K. and Kenneth. D. West, (1987) \"Simple positive Semidefinite, Heteroskedasticity and Autovorrelation consistent Covariance Matrix, Econometrica, 55 ,703-708.\r\n\r\n[31]: Pagan, A. R. and Wickens M. R. (1989), \"A Survey of some Recent Econometric\r\nMethods,\" The Economic Journal, 99, 962-1025.\r\n[32]: Ripley (1987) \"Stochstic Simulation,\", ch7.\r\n[33]: Revuz, D. (1984) \" Markov Chains,\" 2nd , North-Holland Mathematical Liabry.\r\n[34]: Sargan, J. D. (1958) \"The estimation of economic relationships using instrumental variables.\" Econometrica, 26, 393-415.\r\n[35]: Seber, G. A. Fand Wild. L. J. (1990) \"Nonlinear Regression,\"\r\n[36]: Spanos, Aris, (1986) \"Statistical Foundations of Econometric Modeling,\" Cambridge University Press.\r\n[37]: Tauchen, G. (1986) \"Statistical Properties of Generalized Method of Moments Estimators of Structural Parameters Obtained form Financial Market Data, \" Journal of Business & Economic statistics, 4, 397-416.\r\n[38]: __________ . (1985),\"Finite State Markov-Chain Approximations To Univariate And Vector Autoregressions, \"Economics Letters, 177-181.\r\n[39]: __________ . (1985), \"A Note on The Asymptotic Lower Bound for The Covariance Matrix of The Estimator of The Parameters of Agents Utility Functions,\" Economics Letters, 20, 151-155.\r\n[40]: Taylor ,J .B and Harald Uhlig (1990) \"Solving Nonlinear Stochastic Growth Model: A Comparsion of Alternative Solution Methods,\" Journal of Business & Economic Statistics, 8,1-17.\r\n[41]: William, H. Greene (1991) \"Econometric Analysis, \"
描述: 碩士
國立政治大學
經濟學系
資料來源: http://thesis.lib.nccu.edu.tw/record/#B2002004709
資料類型: thesis
Appears in Collections:學位論文

Files in This Item:
File SizeFormat
index.html115 BHTML2View/Open
Show full item record

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.