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題名 涵蓋原則及其在動態總體計量模型的應用
作者 潘國榮
Pan, Guo Rong
貢獻者 汪義育
Wang, Yi Yu
潘國榮
Pan, Guo Rong
關鍵詞 涵蓋原則
動態總體計量模型
應用
日期 1993
1992
上傳時間 2-May-2016 15:17:51 (UTC+8)
參考文獻 毛維凌(1991) ，「計量模型之設定檢定與抉擇一一涵蓋原則之應用」，
中國經濟學會年會論文集.
何金巡(1992，「全國總供需估測年模型(第十號) 」，國民經濟動向
統計季報
汪義育(1989) ，總體經濟時間數列分析之方法與運用，華泰書局
蔡麗茹(1992) ，總體數列之非恆定計量方法與應用，國立政治大學經濟研
究所博士論文
羅紀、吳中書、杜震華、傅祖壇、江豐富、王金利(1989) ，「台灣總體
經濟季模型」，台灣經濟計量模型研討會論文集，中央研究院經濟研究
所。



Chong, Y.Y. and Hendry D.F.(1986), "Econometric Evaluation of Linear
Macro-Economic Models", Review of Economic Studies, LIII,671-690.
Chow,G.C.(1960), "Tests of Equality Between Sets of Coefficients in Two
Linear Regressions", Econometrica, 28, 591-605.
Clements,M.P. and Mizon, G.E. (1991), "Empirical Analysis of Macroeconomic
Time Series VAR and Structural Models", European Economic Review,
35, 887-932.
Cox, D. R. (1961) "Test of separate families of hypotheses," in Preceeding of
the Fourth Berkely Symposium on Mathematical Statistics and Probability,
Vol. l,Berkely: University of California Press, 105-123.

Cox, D. R. (1962) “Further results on tests of separate families of hypothe-ses,” Journal of the Royal Statistical Society, Series B, 24, 406-424.

Cuthbertson, K., Hall, S.G. and Taylor, M.P. (1992), “Applied Econometric Techniques”. U.K.: Philips Allan.

Davidson, J.E.H., Hendry, D.F., Srba, F. and Yeo, S. (1978), “Econometric Modelling of the Aggregate Time Series Relationship between Consumer’s Expendures and Income in the United Kindom”, Economic Journal,88, 661-692.
Engle, R.F., and Hendry, D.F.(1993), “Testing Super Exogeneity and Invari-ance”. Journal of Econometrics, 56, 119-139.

Ericsson, N.R. and Hendry, D.F., (1985), “Conditional Econometric Mod-elling: An Application to New House Prices in the United King dom”, Ch.11 in A.C. Atkinson and S.Fienberg(eds), A Celebration of Statistis. New York: Springer-Verlag.

DeGroot, M.H.(1986),”Probability and Statistics” 2nd edition. Addision-Wesley.

Florens, J.P.,Hendry, D.F. and Richard , J.F.(1987a)”An Information Matrix Approach to Parsimonious Encompassing” ISDS Discussion Paper 8709, Duke University.

Florens, J.P.,Hendry, D.F. and Richard,J.F.(1987b)”Encompassing and Specificity”ISDS Discussion Paper,Duke University.

Florens, J.P.,Hendry, D.F. and Richard, J.F.(1987b) “Encompassing and Specificity”ISDS Discussion Paper, Duke University.

Florens, J.P. and Mouchard,M.(1990),”Bayesian Specification Tests”, Contributions to the Operation Research and Economics.(Ch 14),edted by Cornet,B. and Tulkens, H. MIT Press.

Gilbert, C.L.(1986),”Professor Hendry’s Methodology”, Oxford Bulletin of Economics and Statistics, 48, 283-307.

Gourieroux,C.,Monfort, A. and Trogron,A.(1984),”Pseudo Maximum Likelihood Methods:Theory”, Econometrica,52, 681-699.

Granger, C.W.J.(1990)(ed),Modelling Economic Series. Readings in Econometric Methodoiogy. Oxford:Haavelmo,T.(1944),”the Probability Approach in Econometrics”, Econometrica, 12, Supplement, 1-118.

Hannan,E.J.(1970),Multiple Time Series,New York:John Wiley and Sons.

Hendry,D.F.(1983),”Comment”, Appendix for Mackinnon, J.G.(1983).

Hendry,D.f.(1987),”Econometric Methodology: A Personal Perspective”, Chapter 10 in T.F. Bewley(ed.).Advances in Econometrics. Cambridge: Cambridge University Press, 29-48.

Hendry,D.F.(1989),PC-GIVE:An Interactive Econometric Modelling Systems, Oxford:Oxford Institute of Economics and Statistics.

Hendry,D.F.and Milzon G.E.(1990),”Procrustean Econometrics: Or Stretching and Squeesing Data”, P121-136 in Granger, C.W.J. op cit.

Hendry,D.F.,Neale,A.J. and Srba,F. (1988)”Econometric Analysis of Small Linear Systems using PC-FIML”,Journal of Econometrics, 38,203-226.

Hendry, D.F. and Richard, J-F.(1982)” On the Formulation of Empirical Models in Dynamic Econometrics”, Journal of Econometrics, 20, 3-33.

Hendry,D.F. and Richard,J-F.(1990),”Recent Developments in the Theory of Encompassing”,P393-440 in Contributions to Opetations Research and Econometrics. The Twentieth Anniversary of CORE, ed. B. Conrnet and H. Tulkens,Cambridge,MASS:MIT Press.

Hylleberg, S. and Mizon G.E.(1989),”Cointegration and Error Correction Mechanisms”,Economic Journal ,(Conference Supplement), 99, 113-125.

Hylleberg, S. and Paldam, M. (1991),”New Approach to Empirical Macroeconomics” Scand. Journal of Economics, 93, 121-128.

Johansen, S.(1988),”Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12, 231-254.

Johansen, S. and Juseiius K. (1990), “Maximum Likelihood Estimation and Inferenceon Cointegration – With Applications to the Demand for Money”,Oxford Bulletin of Economics and Statistics, 52, 169-210.

Maozu Lu and Mizon, G.E.(1993),”Encompassing Principle and Specification Tests”,paper presented at the International Seminar on Econometrics, Academia Sinica. Taipei, Taiwan, June,1993.

MacKinnon,J.G.(1983),”Model Specification Tests against Non-nested Alternatives”, Econometric Reviews, 2(1), 85-110.

Mizon,G.E.(1984),”The Encompassing Approach in Econometrics”, in D.F Hendry and K.F. Wallis (eds) Econometrics and Quantitative Economics, Oxford:Basil Blackwell, 135-172.

Mizon, G.E.(1989), “The Role of Econometric Modelling in Economic Analysis”, Recista Espanola de Economia, 6, 167-191.

Mizon, G.E.(1991).”Modelling Relative Price Variability and Aggregative Inflation in the United Kindom”, Scand. Journal of Economics 93(2), 189-211.

Mizon, G.E. and Richard , J-F.(1983),”Comment”, Appendix for Mackinnon J.B.(1883).

Mizon , G.E. and Richard , J-F.(1986),”The Encompassin Principle and its Application to Non-Nested Hypothesis Tests”, Econometrica , 54, 657-678.

Monfort, A. and Rabemananjara R.(1990),”From a VAR Model to a Strctural Model, With an Application to the Wage-Price Spiral” , Journal of Applied Econometrics, 5, 203-227.

Pagan, A.R.( 1987),”Three Econometric Methodologies: A Critical Appraisal”, Journal of Economic Surveys, 1,3-24(reprinted in Granger(1990), op.cit).

Pagan, A.R.(1990),”Twenty Years After: Econometrics, 1966-1986”, P319-383 in Contributions to Operations Research and Econometrics. The Twentieth Anniverary of Core, ed. B. Cornet and H. Tulkens. Cambridge, Mass:MIT Press.

Pesaran, M.H.(1974),”On the General Problem of Model Selection”, Review of Economic Studies, 41, 153-171.

Philips,P.C.B. and Durlauf S.N.(1986),”Multiple Time Series Regression With Integrated Processes”.Review of Economic Studies, 53, 473-495.

Sims, C.A.(1991),”Comment”, Appendix for Clements, M.P. and Mizon,G.E.(1991).
Sowa, Takamitsu(1978),”Information Criteria for Discrimination Among Alternative Regression Model”. Econometrica, 46, No.6. 1273-1291.

Spanos,A.(1986a),Statistical Foundations of Econometric Modelling , Cambridge: Cambridge University Press.

Spanos, A. (1989b),”On Re-reading Haavelmo: A Retrospective View of Econometric Modeling”, Econometric Theory, 5, 405-429.

Tauchen, G. (1985),” Diagnostic Testing and Evaluation of Maximum Likelihood Models”, Journal of Econometrics, 30, 415-444.

White,H. (1988),”The Encompassing Principle for Non-nested Dynamic Model Specification”, Discussion Paper, U. of California, San Diego.

Zellner, A. and F. Palm(1974)”Time series analysis and simultaneous equations econometric models,” Journal of Econometrics, 2,17-54.
描述 碩士
國立政治大學
財政學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004302
資料類型 thesis
dc.contributor.advisor 汪義育zh_TW
dc.contributor.advisor Wang, Yi Yuen_US
dc.contributor.author (Authors) 潘國榮zh_TW
dc.contributor.author (Authors) Pan, Guo Rongen_US
dc.creator (作者) 潘國榮zh_TW
dc.creator (作者) Pan, Guo Rongen_US
dc.date (日期) 1993en_US
dc.date (日期) 1992en_US
dc.date.accessioned 2-May-2016 15:17:51 (UTC+8)-
dc.date.available 2-May-2016 15:17:51 (UTC+8)-
dc.date.issued (上傳時間) 2-May-2016 15:17:51 (UTC+8)-
dc.identifier (Other Identifiers) B2002004302en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89249-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財政學系zh_TW
dc.description.tableofcontents 第一章 緒論…………………………………………………………………………1
第一節 研究動機………………………………………………………………1
第二節 研究內容與方向………………………………………………………3
第二章 涵蓋原則的概念與發展……………………………………………………5
第一節 導論……………………………………………………………………5
第二節 參數涵蓋………………………………………………………………9
第三節 動態分析……………………………………………………………16
第三章 動態總體計量模型的設計………………………………………………26
第一節 從一般到特定的計量模型設定方法………………………………27
第二節 線性動態結構模型的設定…………………………………………29
第三節 涵蓋分析……………………………………………………………36
第四章 實證研究…………………………………………………………………39
第五章 結論與建議………………………………………………………………50
參考文獻……………………………………………………………………………61		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004302en_US
dc.subject (關鍵詞) 涵蓋原則zh_TW
dc.subject (關鍵詞) 動態總體計量模型zh_TW
dc.subject (關鍵詞) 應用zh_TW
dc.title (題名) 涵蓋原則及其在動態總體計量模型的應用zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 毛維凌(1991) ，「計量模型之設定檢定與抉擇一一涵蓋原則之應用」，
中國經濟學會年會論文集.
何金巡(1992，「全國總供需估測年模型(第十號) 」，國民經濟動向
統計季報
汪義育(1989) ，總體經濟時間數列分析之方法與運用，華泰書局
蔡麗茹(1992) ，總體數列之非恆定計量方法與應用，國立政治大學經濟研
究所博士論文
羅紀、吳中書、杜震華、傅祖壇、江豐富、王金利(1989) ，「台灣總體
經濟季模型」，台灣經濟計量模型研討會論文集，中央研究院經濟研究
所。



Chong, Y.Y. and Hendry D.F.(1986), "Econometric Evaluation of Linear
Macro-Economic Models", Review of Economic Studies, LIII,671-690.
Chow,G.C.(1960), "Tests of Equality Between Sets of Coefficients in Two
Linear Regressions", Econometrica, 28, 591-605.
Clements,M.P. and Mizon, G.E. (1991), "Empirical Analysis of Macroeconomic
Time Series VAR and Structural Models", European Economic Review,
35, 887-932.
Cox, D. R. (1961) "Test of separate families of hypotheses," in Preceeding of
the Fourth Berkely Symposium on Mathematical Statistics and Probability,
Vol. l,Berkely: University of California Press, 105-123.

Cox, D. R. (1962) “Further results on tests of separate families of hypothe-ses,” Journal of the Royal Statistical Society, Series B, 24, 406-424.

Cuthbertson, K., Hall, S.G. and Taylor, M.P. (1992), “Applied Econometric Techniques”. U.K.: Philips Allan.

Davidson, J.E.H., Hendry, D.F., Srba, F. and Yeo, S. (1978), “Econometric Modelling of the Aggregate Time Series Relationship between Consumer’s Expendures and Income in the United Kindom”, Economic Journal,88, 661-692.
Engle, R.F., and Hendry, D.F.(1993), “Testing Super Exogeneity and Invari-ance”. Journal of Econometrics, 56, 119-139.

Ericsson, N.R. and Hendry, D.F., (1985), “Conditional Econometric Mod-elling: An Application to New House Prices in the United King dom”, Ch.11 in A.C. Atkinson and S.Fienberg(eds), A Celebration of Statistis. New York: Springer-Verlag.

DeGroot, M.H.(1986),”Probability and Statistics” 2nd edition. Addision-Wesley.

Florens, J.P.,Hendry, D.F. and Richard , J.F.(1987a)”An Information Matrix Approach to Parsimonious Encompassing” ISDS Discussion Paper 8709, Duke University.

Florens, J.P.,Hendry, D.F. and Richard,J.F.(1987b)”Encompassing and Specificity”ISDS Discussion Paper,Duke University.

Florens, J.P.,Hendry, D.F. and Richard, J.F.(1987b) “Encompassing and Specificity”ISDS Discussion Paper, Duke University.

Florens, J.P. and Mouchard,M.(1990),”Bayesian Specification Tests”, Contributions to the Operation Research and Economics.(Ch 14),edted by Cornet,B. and Tulkens, H. MIT Press.

Gilbert, C.L.(1986),”Professor Hendry’s Methodology”, Oxford Bulletin of Economics and Statistics, 48, 283-307.

Gourieroux,C.,Monfort, A. and Trogron,A.(1984),”Pseudo Maximum Likelihood Methods:Theory”, Econometrica,52, 681-699.

Granger, C.W.J.(1990)(ed),Modelling Economic Series. Readings in Econometric Methodoiogy. Oxford:Haavelmo,T.(1944),”the Probability Approach in Econometrics”, Econometrica, 12, Supplement, 1-118.

Hannan,E.J.(1970),Multiple Time Series,New York:John Wiley and Sons.

Hendry,D.F.(1983),”Comment”, Appendix for Mackinnon, J.G.(1983).

Hendry,D.f.(1987),”Econometric Methodology: A Personal Perspective”, Chapter 10 in T.F. Bewley(ed.).Advances in Econometrics. Cambridge: Cambridge University Press, 29-48.

Hendry,D.F.(1989),PC-GIVE:An Interactive Econometric Modelling Systems, Oxford:Oxford Institute of Economics and Statistics.

Hendry,D.F.and Milzon G.E.(1990),”Procrustean Econometrics: Or Stretching and Squeesing Data”, P121-136 in Granger, C.W.J. op cit.

Hendry,D.F.,Neale,A.J. and Srba,F. (1988)”Econometric Analysis of Small Linear Systems using PC-FIML”,Journal of Econometrics, 38,203-226.

Hendry, D.F. and Richard, J-F.(1982)” On the Formulation of Empirical Models in Dynamic Econometrics”, Journal of Econometrics, 20, 3-33.

Hendry,D.F. and Richard,J-F.(1990),”Recent Developments in the Theory of Encompassing”,P393-440 in Contributions to Opetations Research and Econometrics. The Twentieth Anniversary of CORE, ed. B. Conrnet and H. Tulkens,Cambridge,MASS:MIT Press.

Hylleberg, S. and Mizon G.E.(1989),”Cointegration and Error Correction Mechanisms”,Economic Journal ,(Conference Supplement), 99, 113-125.

Hylleberg, S. and Paldam, M. (1991),”New Approach to Empirical Macroeconomics” Scand. Journal of Economics, 93, 121-128.

Johansen, S.(1988),”Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12, 231-254.

Johansen, S. and Juseiius K. (1990), “Maximum Likelihood Estimation and Inferenceon Cointegration – With Applications to the Demand for Money”,Oxford Bulletin of Economics and Statistics, 52, 169-210.

Maozu Lu and Mizon, G.E.(1993),”Encompassing Principle and Specification Tests”,paper presented at the International Seminar on Econometrics, Academia Sinica. Taipei, Taiwan, June,1993.

MacKinnon,J.G.(1983),”Model Specification Tests against Non-nested Alternatives”, Econometric Reviews, 2(1), 85-110.

Mizon,G.E.(1984),”The Encompassing Approach in Econometrics”, in D.F Hendry and K.F. Wallis (eds) Econometrics and Quantitative Economics, Oxford:Basil Blackwell, 135-172.

Mizon, G.E.(1989), “The Role of Econometric Modelling in Economic Analysis”, Recista Espanola de Economia, 6, 167-191.

Mizon, G.E.(1991).”Modelling Relative Price Variability and Aggregative Inflation in the United Kindom”, Scand. Journal of Economics 93(2), 189-211.

Mizon, G.E. and Richard , J-F.(1983),”Comment”, Appendix for Mackinnon J.B.(1883).

Mizon , G.E. and Richard , J-F.(1986),”The Encompassin Principle and its Application to Non-Nested Hypothesis Tests”, Econometrica , 54, 657-678.

Monfort, A. and Rabemananjara R.(1990),”From a VAR Model to a Strctural Model, With an Application to the Wage-Price Spiral” , Journal of Applied Econometrics, 5, 203-227.

Pagan, A.R.( 1987),”Three Econometric Methodologies: A Critical Appraisal”, Journal of Economic Surveys, 1,3-24(reprinted in Granger(1990), op.cit).

Pagan, A.R.(1990),”Twenty Years After: Econometrics, 1966-1986”, P319-383 in Contributions to Operations Research and Econometrics. The Twentieth Anniverary of Core, ed. B. Cornet and H. Tulkens. Cambridge, Mass:MIT Press.

Pesaran, M.H.(1974),”On the General Problem of Model Selection”, Review of Economic Studies, 41, 153-171.

Philips,P.C.B. and Durlauf S.N.(1986),”Multiple Time Series Regression With Integrated Processes”.Review of Economic Studies, 53, 473-495.

Sims, C.A.(1991),”Comment”, Appendix for Clements, M.P. and Mizon,G.E.(1991).
Sowa, Takamitsu(1978),”Information Criteria for Discrimination Among Alternative Regression Model”. Econometrica, 46, No.6. 1273-1291.

Spanos,A.(1986a),Statistical Foundations of Econometric Modelling , Cambridge: Cambridge University Press.

Spanos, A. (1989b),”On Re-reading Haavelmo: A Retrospective View of Econometric Modeling”, Econometric Theory, 5, 405-429.

Tauchen, G. (1985),” Diagnostic Testing and Evaluation of Maximum Likelihood Models”, Journal of Econometrics, 30, 415-444.

White,H. (1988),”The Encompassing Principle for Non-nested Dynamic Model Specification”, Discussion Paper, U. of California, San Diego.

Zellner, A. and F. Palm(1974)”Time series analysis and simultaneous equations econometric models,” Journal of Econometrics, 2,17-54.		zh_TW