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題名 總體經濟計量模型之設定、推論與評斷 : 臺灣總體實證研究
作者 吳祥華
貢獻者 汪義育
吳祥華
日期 1994
上傳時間 2016-05-11
摘要 本文主要目的乃在探討構建一個實證總體模型的恰當程序，內容包括結構關係設定，非恆定計量方法應用，以及模型評估技術之研議與施行，並實際提供一簡單的臺灣總體計量模型供作說明。
This dissertation studies the proper procedure to construct an empirical macroeconomic model including specification of structure relations, nonstationary econometric methods and model-evaluation techniques and provides a simple macro econometric model of Taiwan as an illustration.
參考文獻 [1] 汪義育(民國75 年) :“台灣的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(民國78 年2 月) :“總體經濟時間數列分析之方法與應用"華泰書
局，台北。
[3] 李政峰(民國81 年6 月) :“總體計量模型之設定、估計與分析━台灣之實証
研究))國立政治大學國貿所碩士論文。
[4] 林建甫(民國82 年元月) :“經濟變數的趨勢討論”，中國經濟學會1993 年年
會論文集。
[5] 林金龍，吳中書，劉興嘉(民國82 年9 月) :“台灣美元遠期即期匯率關係之
探討━共整合分析之應用”，中國統計學報第31 卷第2 期， 271 - 287 頁。
[6] 許明振，莊靜真(民國82 年元月) :“台灣貨幣政策之探討━共積分析之應用”中國經濟學會1993 年年會論文集。
[7] 徐倩蘭(民國82 年6 月) :“台灣總體計量模型━財政及金融政策之模擬分析
“，國立台灣大學經濟系碩士論文。
[8] 梁志民(民國79 年7 月) :“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碩士論文。
[9J 蔡麗如(民國77 年6 月) :“台灣總體經濟變數之因果關係檢定”，政大國貿
所碩士論文，台北。
[10] 蔡麗如(民國81 年8 月) :“總體數列之非恆定計量方法與應用"政大經濟
研究所博士論文，台北。
[11] 孫翠蘭(民國81 年6 月) :“我國貨幣政策反應函數之決定━兼論匯罩之影響"中興大學經濟研究所碩士論文。
[12] 孫金蘭(民國80 年7 月) :“台灣貨幣需求之實證研究━共整合與誤差修正模型之應用"國立中興大學經濟研究所碩士論文。
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Models Under Rationa.l Expectations" , Econometrica` Vol.48 , No.5,
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[21] Dejong` D.N. ` Nankervis` J.C. ` savin` N.E. • and Whiteman •
C.H.(1992) : "Integration Versus Trend Stationary in Time Series" , Econometrica`
Vol.60 , No.2, March, 423 - 433.
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描述 博士
國立政治大學
經濟學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#G91NCCV9072012
資料類型 thesis
dc.contributor.advisor 汪義育zh_TW
dc.contributor.author (Authors) 吳祥華zh_TW
dc.creator (作者) 吳祥華zh_TW
dc.date (日期) 1994en_US
dc.date.accessioned 2016-05-11-
dc.date.available 2016-05-11-
dc.date.issued (上傳時間) 2016-05-11-
dc.identifier (Other Identifiers) G91NCCV9072012en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/96443-
dc.description (描述) 博士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description.abstract (摘要) 本文主要目的乃在探討構建一個實證總體模型的恰當程序，內容包括結構關係設定，非恆定計量方法應用，以及模型評估技術之研議與施行，並實際提供一簡單的臺灣總體計量模型供作說明。zh_TW
dc.description.abstract (摘要) This dissertation studies the proper procedure to construct an empirical macroeconomic model including specification of structure relations, nonstationary econometric methods and model-evaluation techniques and provides a simple macro econometric model of Taiwan as an illustration.en_US
dc.description.tableofcontents 第壹章緒論 1
一研究之緣起 1
二研究大鋼與研究目的 2
第貳章結構性計量模型之比較分析與台灣實例 4
一結構性計量模型之設定與建構 5
二模型設定法之比較研究 11
三傳統之台灣總體計量模型 16
四本章結論 36
本章註解 37
第參章台灣總體計量模型之非恆定分析與推論 40
一總體變數之非恆定分析 40
二共積理論與非恆定變數之共積分析 61
三台灣總體共積計量模型 83
四本章結論 94
本章註解 96
第肆章模型預測績效評估與比較動態分析 103
一模型樣本內事前預測之績效評 103
二模型之比較動態分析 106
三模型樣本外事前預測之績效評估 115
四本章結論 132
本章註解 133
第伍章結論與建議 134
【附錄I】對等濃縮之美國模型與英國模型 137
﹝附錄I註解﹞對等濃縮之美國模型與英國模型 169
【附錄II】變數資料來源 175
【附錄III】台灣實例單根檢定：步驟(1)～步驟(3b)結果表 179
【附錄IV】共積VAR最適落後階次檢定 185
【附錄V】模型I各決策變數樣本內事前測Theil-U係數表 190
【附錄VI】模型II各決策變數樣本內事前測Theil-U係數表 191
【附錄VII】限制VAR模型之變數因果限制檢定結果 192
【參考文獻】 203		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G91NCCV9072012en_US
dc.title (題名) 總體經濟計量模型之設定、推論與評斷 : 臺灣總體實證研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) [1] 汪義育(民國75 年) :“台灣的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(民國78 年2 月) :“總體經濟時間數列分析之方法與應用"華泰書
局，台北。
[3] 李政峰(民國81 年6 月) :“總體計量模型之設定、估計與分析━台灣之實証
研究))國立政治大學國貿所碩士論文。
[4] 林建甫(民國82 年元月) :“經濟變數的趨勢討論”，中國經濟學會1993 年年
會論文集。
[5] 林金龍，吳中書，劉興嘉(民國82 年9 月) :“台灣美元遠期即期匯率關係之
探討━共整合分析之應用”，中國統計學報第31 卷第2 期， 271 - 287 頁。
[6] 許明振，莊靜真(民國82 年元月) :“台灣貨幣政策之探討━共積分析之應用”中國經濟學會1993 年年會論文集。
[7] 徐倩蘭(民國82 年6 月) :“台灣總體計量模型━財政及金融政策之模擬分析
“，國立台灣大學經濟系碩士論文。
[8] 梁志民(民國79 年7 月) :“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碩士論文。
[9J 蔡麗如(民國77 年6 月) :“台灣總體經濟變數之因果關係檢定”，政大國貿
所碩士論文，台北。
[10] 蔡麗如(民國81 年8 月) :“總體數列之非恆定計量方法與應用"政大經濟
研究所博士論文，台北。
[11] 孫翠蘭(民國81 年6 月) :“我國貨幣政策反應函數之決定━兼論匯罩之影響"中興大學經濟研究所碩士論文。
[12] 孫金蘭(民國80 年7 月) :“台灣貨幣需求之實證研究━共整合與誤差修正模型之應用"國立中興大學經濟研究所碩士論文。
[13] Banerjee • A. • Lumsdaine , R.L. ` and Stock, J.H.(1990) : “Recursive
and Sequential Tests of the Unit Root and Trend Break Hypotheses: Theory
and International Evidence" , NBER Working Paper` No.3510.
[14] Blanchard • O.J. ` and Kahn I C.M.(1980) : “The Solution of Linear Difference
Models Under Rationa.l Expectations" , Econometrica` Vol.48 , No.5,
July.
[15] Christiano ` L.J .(1988)，”Searching for a Break in GNP" , NBER Working
Paper No. 2695.
[16] Chu ` C.S. James and White` H.(1991) : “Testing for Structure Change
in Some Simple Time Series Model" , San Diego Dept. of Economics, Discussion
Paper No. 91-06.
[17] Clements ` M.P. and D.F. Hendry(1991) : “Forecasting in Cointegrate
Systems" , Mimeo , Institute of Economics and Statistics, Oxford.
[18] Cuthbertson` K.(1985) :”Sterling Bank Lending to UK Industrial and Commerical
Comapnies" , Oxford Bulletin of Economics and Statistics, Vol.47 , may
, No.2.
[19] Cuthbertson ˙ K.(1985) : “Bank Lending to UK Industrial and Commercial
Companies" , Oxford Bulletin of and Statistics, May Vol.147 , No.2.
[20] Dejong` D.N. ` Nankervis, J.C. • and Whiteman` C.H.(1989) : "
Integration Vexsus Trend-Stationary in Macroeconomic Time Series" , University
of Iowa Dept. of Economic `Working Paper No. 31 - 89.
[21] Dejong` D.N. ` Nankervis` J.C. ` savin` N.E. • and Whiteman •
C.H.(1992) : "Integration Versus Trend Stationary in Time Series" , Econometrica`
Vol.60 , No.2, March, 423 - 433.
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