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題名 時間數列之結構性變動與單根檢定之探討 : 台灣總體經濟數列之實證分析
作者 陳東江
CHEN, DONG-JIANG
貢獻者 汪義育
陳東江
CHEN, DONG-JIANG
日期 1992
1991
上傳時間 2-May-2016 15:14:36 (UTC+8)
參考文獻 [1] 汪義育，總體經濟時間數列分析之方法與運用，華泰書局， (1989) 。
     [2] 梁志民， "台灣總體經濟數列長期趨勢與短期波動關聯之研究" ，政治大學財稅研究所碩士論文， (1990) 。
     [3] 張淑玲，“總體時間數列非恆定性之研究" ，政治大學國際貿易研究所碩士論文， (1991) 。
     [4] 蔡麗茹，“非恆定總體時間數列計量方法之分析與應用"，未出版之博士論文， (1992) 。
     [5] Billingsley, P., Convergence of Probability Measures, New York: John Wiley, (1968).
     [6] Brown R. L., Durbin J., and Evans J. M., "Techniques for Testing the Constancy of Regression Relationships over Time", Journal of the Royal Statistical Society, B 27, 149-163, (1975).
     [7] Chow G. C., "Tests of Equality Between Sets of Coefficients in Two Linear Regressions", Econometrica, 28: 591-605,(1960).
     [8] Dickey, D. A. and Feller, W. A., "Distribution of the Estimators for Autoregressive Time Series with a Unit Root",Journal of the American Statistical Association, Vol. 74,427-431, (1979).
     [9] Fuller, Wayne A., Introduction to Statistical Time Series,New York: John Wiley & Sons, (1976).
     [10] Harvey, A. C., The Econometric Analysis of Time Series,Great Britian, The London School of Economics, (1990).
     [11] Herrndorf, "A Functional Central Limit Theorem for Weakly Dependent Sequences of Random Variables", The Annals of Probability, Vol. 12, No.1, 141-153, (1984).
     [12] Herrndorf, "A Functional Central Limit Theorem for p –Mixing Sequences" , Journal of Multivariate Analysis, 15,141-146, (1984).
     [13] Kramer Walter, Sonnberger Harald, The Linear Regression Model Under Test, Germany, Physica-Verlag Heidelberg,(1986).
     [14] Kramer Walter, Ploberger Werner, and Raimund Alt,"Testing for Structural Change in Dynamic Model" , Econometrica,Vol. 56, 1355-1369, (1988).
     [15] Mackinnon J. G., "Heteroskedasticity-Robust Tests for Structural Change", Empec, Vol. 14, 77-92, (1989).
     [16] Nelson, C. and Plosser, C., "Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications",Journal of Monetary Economics, Vol. 10, 139-162,(1982).
     [17] Perron, P., "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis", Econometrica, Vol. 57,1361-1401,(1989).
     [18] Perron, P., Time Series Econometrics, Princeton University,Ch. 8,10. (1990).
     [19] Peter Schmidt, "Dickey - Fuller tests with Drift", Advances in Econometrics, 8, 161-200, (1990).
     [20] Phillips, P. C. B., "Time Series Regression with Unit Roots" , Econometrics, Vol. 55, 277-302, (1987).
     [21] Phillips, P. C. B. and Perron, P., "Testing for a Unit Root in Time Series Regression" , Biometrika, 75, 335-346,(1988).
     [22] Said, S. E. and Dickey, D. A., "Testing for Unit Roots in Autoregressive - Moving Average Models of Unknown Order", Biometrika, 71, 599-608, (1984).
     [23] Stock, J. H., Banerjee, A. and Lumsdaine, R. L., "Recursive and Sequential Tests of the Unit Root and Trend Break Hypotheses: Theory and International Evidence", NBER,(1990).
     [24] White, H., Asymptotic Theory for Econometricians, New York: Academic Press, (1984).
描述 碩士
國立政治大學
國際經營與貿易學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004614
資料類型 thesis
dc.contributor.advisor 汪義育zh_TW
dc.contributor.author (Authors) 陳東江zh_TW
dc.contributor.author (Authors) CHEN, DONG-JIANGen_US
dc.creator (作者) 陳東江zh_TW
dc.creator (作者) CHEN, DONG-JIANGen_US
dc.date (日期) 1992en_US
dc.date (日期) 1991en_US
dc.date.accessioned 2-May-2016 15:14:36 (UTC+8)-
dc.date.available 2-May-2016 15:14:36 (UTC+8)-
dc.date.issued (上傳時間) 2-May-2016 15:14:36 (UTC+8)-
dc.identifier (Other Identifiers) B2002004614en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89168-
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.tableofcontents 謝辭
     第一章、導論. . . . . . . . . . . . . . . . . . . 1
     第二章、傳統之單根檢定與結構性變動檢定. . . . . . . . . . . . . . . . . . .4
     2-1 傳統草根檢定. . . . . . . . . . . . . . . . . . .5
     2-2 傳統結構性變動檢定. . . . . . . . . . . . . . . . . . .13
     本章註解. . . . . . . . . . . . . . . . . . .20
     第三章、結構性變動與草根檢定. . . . . . . . . . . . . . . . . . .23
     3-1 結構性變動與草根檢定一變動時點已知. . . . . . . . . . . . . . . . . . .23
     3-2 草根及結構性變動檢定一變動時點未知. . . . . . . . . . . . . . . . . . .31
     本章註解. . . . . . . . . . . . . . . . . . .39
     第四章、臺灣總體經濟數列之實證分析. . . . . . . . . . . . . . . . . . .43
     4-1 資料與分析架構說明. . . . . . . . . . . . . . . . . . .43
     4-2 傳統草根檢定. . . . . . . . . . . . . . . . . . .44
     4-3 傳統結構性變動檢定. . . . . . . . . . . . . . . . . . .48
     d才結構性變動與草根檢定一變動時點已知. . . . . . . . . . . . . . . . . . .51
     4-5 結構性變動與草根檢定一變動時點未知. . . . . . . . . . . . . . . . . . .55
     4-6 總結論. . . . . . . . . . . . . . . . . . .62
     本章註解. . . . . . . . . . . . . . . . . . .64
     第五章、結論與建議. . . . . . . . . . . . . . . . . . .65
     附錄. . . . . . . . . . . . . . . . . . .68
     參考文獻. . . . . . . . . . . . . . . . . . .79		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004614en_US
dc.title (題名) 時間數列之結構性變動與單根檢定之探討 : 台灣總體經濟數列之實證分析zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) [1] 汪義育，總體經濟時間數列分析之方法與運用，華泰書局， (1989) 。
     [2] 梁志民， "台灣總體經濟數列長期趨勢與短期波動關聯之研究" ，政治大學財稅研究所碩士論文， (1990) 。
     [3] 張淑玲，“總體時間數列非恆定性之研究" ，政治大學國際貿易研究所碩士論文， (1991) 。
     [4] 蔡麗茹，“非恆定總體時間數列計量方法之分析與應用"，未出版之博士論文， (1992) 。
     [5] Billingsley, P., Convergence of Probability Measures, New York: John Wiley, (1968).
     [6] Brown R. L., Durbin J., and Evans J. M., "Techniques for Testing the Constancy of Regression Relationships over Time", Journal of the Royal Statistical Society, B 27, 149-163, (1975).
     [7] Chow G. C., "Tests of Equality Between Sets of Coefficients in Two Linear Regressions", Econometrica, 28: 591-605,(1960).
     [8] Dickey, D. A. and Feller, W. A., "Distribution of the Estimators for Autoregressive Time Series with a Unit Root",Journal of the American Statistical Association, Vol. 74,427-431, (1979).
     [9] Fuller, Wayne A., Introduction to Statistical Time Series,New York: John Wiley & Sons, (1976).
     [10] Harvey, A. C., The Econometric Analysis of Time Series,Great Britian, The London School of Economics, (1990).
     [11] Herrndorf, "A Functional Central Limit Theorem for Weakly Dependent Sequences of Random Variables", The Annals of Probability, Vol. 12, No.1, 141-153, (1984).
     [12] Herrndorf, "A Functional Central Limit Theorem for p –Mixing Sequences" , Journal of Multivariate Analysis, 15,141-146, (1984).
     [13] Kramer Walter, Sonnberger Harald, The Linear Regression Model Under Test, Germany, Physica-Verlag Heidelberg,(1986).
     [14] Kramer Walter, Ploberger Werner, and Raimund Alt,"Testing for Structural Change in Dynamic Model" , Econometrica,Vol. 56, 1355-1369, (1988).
     [15] Mackinnon J. G., "Heteroskedasticity-Robust Tests for Structural Change", Empec, Vol. 14, 77-92, (1989).
     [16] Nelson, C. and Plosser, C., "Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications",Journal of Monetary Economics, Vol. 10, 139-162,(1982).
     [17] Perron, P., "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis", Econometrica, Vol. 57,1361-1401,(1989).
     [18] Perron, P., Time Series Econometrics, Princeton University,Ch. 8,10. (1990).
     [19] Peter Schmidt, "Dickey - Fuller tests with Drift", Advances in Econometrics, 8, 161-200, (1990).
     [20] Phillips, P. C. B., "Time Series Regression with Unit Roots" , Econometrics, Vol. 55, 277-302, (1987).
     [21] Phillips, P. C. B. and Perron, P., "Testing for a Unit Root in Time Series Regression" , Biometrika, 75, 335-346,(1988).
     [22] Said, S. E. and Dickey, D. A., "Testing for Unit Roots in Autoregressive - Moving Average Models of Unknown Order", Biometrika, 71, 599-608, (1984).
     [23] Stock, J. H., Banerjee, A. and Lumsdaine, R. L., "Recursive and Sequential Tests of the Unit Root and Trend Break Hypotheses: Theory and International Evidence", NBER,(1990).
     [24] White, H., Asymptotic Theory for Econometricians, New York: Academic Press, (1984).		zh_TW