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題名 共積計量方法之比較研究 --- 臺灣總體經濟數列之實證分析
The comparative study of cointegration theory ---the empirical analysis in the macroeconomic series of Taiwan.
作者 王美鈺
Wang, Mei-Yu
貢獻者 汪義育
王美鈺
Mei-Yu Wang
關鍵詞 共積
誤差修正
共同趨勢
共積迴歸
自迴歸表現式
Cointegration
Error Correction
Common Trend
Cointegrating
Autoregressive
日期 1993
上傳時間 29-Apr-2016 16:42:48 (UTC+8)
摘要 總體經濟或財務理論之所以發生爭端，主要癥結不在理論之優劣，而是
參考文獻 ( 一)中文部分:
     [1]汪義育(1989) :「總體經濟時間數列分析之方法與應用」，臺北: 華泰。
     [2]梁志民(1990) :「臺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。
     [3]蔡麗茹(1992) :「總體數列之非但定計量方法與應用」，國立政治大學經濟學研究所博士論文。
     (二)英文部分:
     [1] A C Harvey (1981)-` The Econometric Analysis of Time Series", The London School of Economics.
     [2] A C Harvey (1981)-"Time Series Models" , The London School of Economics.
     [3] Anderson, T. W. (1984)-" An Introduction to Mulivariate Statistical Analysis" , (New York , Wiley).
     [4] 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 , pp .151-174·
     [5] Billingsley, P.(1968)-" Convergence of Probability Measure" ,(New York ,John Wiley).
     [6] Dickey , David A. (1976)-" Estimation and Hypothesis Testing for Nonstationary Time Series" , Ph.D. Thesis, Iowa State University ,Ames
     [7] Dickey, David A., Dennis W. Jansen and Daniel L. Thornton (1991)-" A Primer On Cointegration with An Application to Money and Income" , Federal -Reserve-Bank-of-St. Louis- Review, V 73(2), pp .58-78.
     [8] 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 , pp.4 27-4 31 .
     [9] Dickey, D. A. and W. A. Fuller (1981 )-" Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root " , Econometrica , 49 , pp.753-779.
     [10] Engle R . F. and Granger C. W. J. (1987)-" Cointegration and Error Correction : Representation , Estimation , and Testing" , Econometrica , Vol. 55 , No.2 , March pp.251-276.
     [11] Engle R. F. and Granger C. W. J. (1991)- " Long-Run Economic Relationship.- Readings in Cointegration " , Oxford University Press.
     [12] Engle R. F. and J. Hallman (1990)-" Merging short and Long-Run Forecasts: an Application of Seasonal Cointegration to Monthly Electricity Sales Forecasting" , Journal of Econometrics , 40 , pp·45-62.
     [13] Engle R. F. and Sam Yoo (1986)-" Forecasting and Testing in Cointegrated Systems" , UCSD Discussion Paper.
     [14]Engle R. F. and Sam Yoo (1987)-" Cointegrated Econoic Time Series: An Overview with New Results" , European Meeting of the Econometric Society in Copenhagen 24-8 August.
     [15] Engle R. F. and T. Bollerslev. (1986)-" Modelling the Persistence of Conditional Variance" Econometric Review , 5.pp.1-50.
     [16] Escribano , Alvaro (1987)-" Error-Correction Systems: Nonlinear Adjustments to Linear Long-Run Relationships" , CORE Discussion Paper 8730.
     [17] Granger C. W. J. (1981)-" Some Properties of Time Series Data and Their Use in Econometrics Model Specification " , Journal of Econometrics 16 pp.121-130.
     [18] Granger C. W. J. (1983)-" Cointegated Variables and Error-Correcting Models" UCSD Discussion Paper pp. 83-113.
     [19] Granger C. W. J. (1986)-" Developments in the Study of Cointegated Economic Variables " Oxford Bolletin of Economies and Statistics, 48:3, pp .213-228.
     [20] Granger C. W. J. and "Weiss (1983)-" Time Series Analysis of Error- Correcting Model , in Studies in Econometric Time Series and Multivariate Statistics (New York ) Academic Press, pp.255-278.
     [21] Hannan, E. J.(1970)-" Multiple Time Series"( New York) Wiley.
     [22] Hylleberg , S., R. f. Engle, C. W. J. Granger, and B. S. Yoo (1990) -" Seasonal Integration and Cointegartion " , Forthcoming, Journal of Economeirics,44, pp.215-238.
     [23] Johansen Soren (1985 )-" The Mathematical Structure of Error Correction Models" , preprint KUIMS.
     [24] Johansen Soren (1988)-" Statistical Analysis of Cointegartion Vectors" , Journal of Economic Dynamics and Control ,12, pp.231 -254.
     [25] Johansen Soren (1991)-" Estimation and Hypothesis Testing of Cointegration Vector in Gaussian Vector Autoregressive Models" , Econometrica , 59, pp.1551-1580.
     [26] Johansen Soren and Katarina Juselius (1990)-" Maximum likelihood Estimation and Inference on Cointegration-with Applications to the Demand for Money " , Oxford Bulletin of Economics and Statistics , 52, pp.162 -210.
     [27] James H. Stock and Mark W. Watson (1988)-" Testing for Common Trends " , Journal of the American Statistical Association , December, Vol. 83 ) No . 404 pp .1091-1101.
     [28] Phillips , A. W. (1957)-" Stabilization Policy and the Time Forms of Lagged Responses" , Economic Journal 61 ,pp .265-211.
     [29] Phillips , P . C. B. and S. Quliaris (1990)-" Asymptotic Properties of Residual Based Tests for Cointegration " , Econo-metrica 58, pp.165-193.
     [30] Pierre Perron (1990)-" Time Series Econometrics " , Lecture Notes for Econ 513 , Department of Economics, Princeton University.
     [31] Phillips, P. C. B. and S. Quliaris (1988)-" Testing for Cointegration Using Principal Components Mothods " , Journal of Economics Dynamics and Control , 12 , pp. 205- 230.
     [32] Roger Perman (1991)-" Cointegration: An Introduction to the Literature " ,Journal of Economic Studies, Vol. 18 , No.3 pp. 3-30.
     [33] Sargan , J. D. (1964)-" `Wages and Prices in the United Kingdom: A Study in Econometric Methodology " , Econometric Analysis for National Economic Planning , ed.
     [34] Sims, C. A. , J. H. Stock, and M W. ,Watson (1986)-" Inference in Linear Time Series Models with Unit Roots ,Manuscript , University of Minnesota, Frothcoming, E conometrica.
     [35] Sims, C. A. , J. H. Stock, and M. W. Watson (1990) Inference in Linear Time Series Models with Some Unit Roots , Econometric a, 58, pp. 11 3-144.
     [36] Wayne A. Fuller (1976)-" Introduction to Statistical Time Series , Iowa State University.
     [37] White, J. S. (1958)-" The Limiting Distribution of the Seri al Correlation
     Coefficient in the Explosive Case" , Annals of Mathematical Statistics, 29 , pp .11 88-1197.
     [38] Yoo, B. Sam (1986)-" Multi-Cointegrated Time Series and
     Generalized Error-Correction Models" Economics Department)
     University of California ) San Diego Working Paper.
描述 碩士
國立政治大學
國際經營與貿易學系
80351001
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004153
資料類型 thesis
dc.contributor.advisor 汪義育zh_TW
dc.contributor.author (Authors) 王美鈺zh_TW
dc.contributor.author (Authors) Mei-Yu Wangen_US
dc.creator (作者) 王美鈺zh_TW
dc.creator (作者) Wang, Mei-Yuen_US
dc.date (日期) 1993en_US
dc.date.accessioned 29-Apr-2016 16:42:48 (UTC+8)-
dc.date.available 29-Apr-2016 16:42:48 (UTC+8)-
dc.date.issued (上傳時間) 29-Apr-2016 16:42:48 (UTC+8)-
dc.identifier (Other Identifiers) B2002004153en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/88992-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 80351001zh_TW
dc.description.abstract (摘要) 總體經濟或財務理論之所以發生爭端，主要癥結不在理論之優劣，而是zh_TW
dc.description.tableofcontents 目錄
     第一章 緒論.1
     第一節 研究動機和目的.1
     第二節 本文研究大綱.3
     本章註解.4
     第二章 共積計量方法論.5
     第一節 共積體系之表現式.5
     第二節 共積體系之估計方法.17
     第三節 共積檢定.25
     本章註解.37
     第三章 時間數列分析之應用－臺灣總體經濟數列之實證分析.40
     第一節 分析架構和資料來源.40
     第二節 單變書之單根檢定.42
     第三節 多變數之共積檢定.45
     本章註解.57
     第四章 結論與建議.58
     數學附錄.64
     附錄一.66
     附錄二.70
     附錄三.73
     參考文獻.74		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004153en_US
dc.subject (關鍵詞) 共積zh_TW
dc.subject (關鍵詞) 誤差修正zh_TW
dc.subject (關鍵詞) 共同趨勢zh_TW
dc.subject (關鍵詞) 共積迴歸zh_TW
dc.subject (關鍵詞) 自迴歸表現式zh_TW
dc.subject (關鍵詞) Cointegrationen_US
dc.subject (關鍵詞) Error Correctionen_US
dc.subject (關鍵詞) Common Trenden_US
dc.subject (關鍵詞) Cointegratingen_US
dc.subject (關鍵詞) Autoregressiveen_US
dc.title (題名) 共積計量方法之比較研究 --- 臺灣總體經濟數列之實證分析zh_TW
dc.title (題名) The comparative study of cointegration theory ---the empirical analysis in the macroeconomic series of Taiwan.en_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) ( 一)中文部分:
     [1]汪義育(1989) :「總體經濟時間數列分析之方法與應用」，臺北: 華泰。
     [2]梁志民(1990) :「臺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。
     [3]蔡麗茹(1992) :「總體數列之非但定計量方法與應用」，國立政治大學經濟學研究所博士論文。
     (二)英文部分:
     [1] A C Harvey (1981)-` The Econometric Analysis of Time Series", The London School of Economics.
     [2] A C Harvey (1981)-"Time Series Models" , The London School of Economics.
     [3] Anderson, T. W. (1984)-" An Introduction to Mulivariate Statistical Analysis" , (New York , Wiley).
     [4] 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 , pp .151-174·
     [5] Billingsley, P.(1968)-" Convergence of Probability Measure" ,(New York ,John Wiley).
     [6] Dickey , David A. (1976)-" Estimation and Hypothesis Testing for Nonstationary Time Series" , Ph.D. Thesis, Iowa State University ,Ames
     [7] Dickey, David A., Dennis W. Jansen and Daniel L. Thornton (1991)-" A Primer On Cointegration with An Application to Money and Income" , Federal -Reserve-Bank-of-St. Louis- Review, V 73(2), pp .58-78.
     [8] 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 , pp.4 27-4 31 .
     [9] Dickey, D. A. and W. A. Fuller (1981 )-" Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root " , Econometrica , 49 , pp.753-779.
     [10] Engle R . F. and Granger C. W. J. (1987)-" Cointegration and Error Correction : Representation , Estimation , and Testing" , Econometrica , Vol. 55 , No.2 , March pp.251-276.
     [11] Engle R. F. and Granger C. W. J. (1991)- " Long-Run Economic Relationship.- Readings in Cointegration " , Oxford University Press.
     [12] Engle R. F. and J. Hallman (1990)-" Merging short and Long-Run Forecasts: an Application of Seasonal Cointegration to Monthly Electricity Sales Forecasting" , Journal of Econometrics , 40 , pp·45-62.
     [13] Engle R. F. and Sam Yoo (1986)-" Forecasting and Testing in Cointegrated Systems" , UCSD Discussion Paper.
     [14]Engle R. F. and Sam Yoo (1987)-" Cointegrated Econoic Time Series: An Overview with New Results" , European Meeting of the Econometric Society in Copenhagen 24-8 August.
     [15] Engle R. F. and T. Bollerslev. (1986)-" Modelling the Persistence of Conditional Variance" Econometric Review , 5.pp.1-50.
     [16] Escribano , Alvaro (1987)-" Error-Correction Systems: Nonlinear Adjustments to Linear Long-Run Relationships" , CORE Discussion Paper 8730.
     [17] Granger C. W. J. (1981)-" Some Properties of Time Series Data and Their Use in Econometrics Model Specification " , Journal of Econometrics 16 pp.121-130.
     [18] Granger C. W. J. (1983)-" Cointegated Variables and Error-Correcting Models" UCSD Discussion Paper pp. 83-113.
     [19] Granger C. W. J. (1986)-" Developments in the Study of Cointegated Economic Variables " Oxford Bolletin of Economies and Statistics, 48:3, pp .213-228.
     [20] Granger C. W. J. and "Weiss (1983)-" Time Series Analysis of Error- Correcting Model , in Studies in Econometric Time Series and Multivariate Statistics (New York ) Academic Press, pp.255-278.
     [21] Hannan, E. J.(1970)-" Multiple Time Series"( New York) Wiley.
     [22] Hylleberg , S., R. f. Engle, C. W. J. Granger, and B. S. Yoo (1990) -" Seasonal Integration and Cointegartion " , Forthcoming, Journal of Economeirics,44, pp.215-238.
     [23] Johansen Soren (1985 )-" The Mathematical Structure of Error Correction Models" , preprint KUIMS.
     [24] Johansen Soren (1988)-" Statistical Analysis of Cointegartion Vectors" , Journal of Economic Dynamics and Control ,12, pp.231 -254.
     [25] Johansen Soren (1991)-" Estimation and Hypothesis Testing of Cointegration Vector in Gaussian Vector Autoregressive Models" , Econometrica , 59, pp.1551-1580.
     [26] Johansen Soren and Katarina Juselius (1990)-" Maximum likelihood Estimation and Inference on Cointegration-with Applications to the Demand for Money " , Oxford Bulletin of Economics and Statistics , 52, pp.162 -210.
     [27] James H. Stock and Mark W. Watson (1988)-" Testing for Common Trends " , Journal of the American Statistical Association , December, Vol. 83 ) No . 404 pp .1091-1101.
     [28] Phillips , A. W. (1957)-" Stabilization Policy and the Time Forms of Lagged Responses" , Economic Journal 61 ,pp .265-211.
     [29] Phillips , P . C. B. and S. Quliaris (1990)-" Asymptotic Properties of Residual Based Tests for Cointegration " , Econo-metrica 58, pp.165-193.
     [30] Pierre Perron (1990)-" Time Series Econometrics " , Lecture Notes for Econ 513 , Department of Economics, Princeton University.
     [31] Phillips, P. C. B. and S. Quliaris (1988)-" Testing for Cointegration Using Principal Components Mothods " , Journal of Economics Dynamics and Control , 12 , pp. 205- 230.
     [32] Roger Perman (1991)-" Cointegration: An Introduction to the Literature " ,Journal of Economic Studies, Vol. 18 , No.3 pp. 3-30.
     [33] Sargan , J. D. (1964)-" `Wages and Prices in the United Kingdom: A Study in Econometric Methodology " , Econometric Analysis for National Economic Planning , ed.
     [34] Sims, C. A. , J. H. Stock, and M W. ,Watson (1986)-" Inference in Linear Time Series Models with Unit Roots ,Manuscript , University of Minnesota, Frothcoming, E conometrica.
     [35] Sims, C. A. , J. H. Stock, and M. W. Watson (1990) Inference in Linear Time Series Models with Some Unit Roots , Econometric a, 58, pp. 11 3-144.
     [36] Wayne A. Fuller (1976)-" Introduction to Statistical Time Series , Iowa State University.
     [37] White, J. S. (1958)-" The Limiting Distribution of the Seri al Correlation
     Coefficient in the Explosive Case" , Annals of Mathematical Statistics, 29 , pp .11 88-1197.
     [38] Yoo, B. Sam (1986)-" Multi-Cointegrated Time Series and
     Generalized Error-Correction Models" Economics Department)
     University of California ) San Diego Working Paper.		zh_TW