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題名 總體時間數列非恆定性之研究
作者 張淑玲
貢獻者 汪義育
張淑玲
日期 1991
1990
上傳時間 2-May-2016 17:00:46 (UTC+8)
參考文獻 參考文獻:
     1. 汪義育(1985):「臺灣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. Anderson , T. W(1959) " On the Asymptotic Distribution of Estimates of the Parameters of Stochastic Difference Equations " Annals of Mathematical Statistics , 30 , 676-687
     3. Ahtsiaand Juh A. and George C. Tiao(1987)” A Note on Asymptotic Inference in Autoregressive Models with Roots on the Unit Circle” Journal of Time Series Analysis 8, No. 1, 15-19.
     4.Beveridge, S. and C.R Nelson(1981)”A New Approach to the Decomposition of Economic Time Series into Permanent and Transient Components with Particular Attention to Measurement of the Business Cycle “Journal of Monetary Economics, 7,151-174.
     5.Box G.E.P. and G.C. Tiao(1975)” Intervention Analysis with Applications to Economic and Environmental Problems” Journal of American Statistical Association, No. 70, 70-79.
     6.Box G.E.P. and G.M. Jenkins(1970) Time Series Analysis : Forecasting and Control. Holden Day, San Francisco.
     7.Chan Chung and G.C. Tiao(1990)” Random Level-Shift Time Series Models, ARIMA Approximations and Level-Shift Detection” Journal of Business & Economic Statistics, J Vol 8, No. 1, 83-97.
     8.Chan N.H. and C.Z. Wei(1987)” Asymptotic Inference for Nearly Nonstationary AR(1) Processes” Annals of Statistics, No. 15, 1050-1063.
     9.Chan N.H. (1988)” On the Parameter Inference for Nearly Nonstationary Time Series” Journal of the American Statistical Association, 83, 857-862.
     10.Cochrane John H. (1988) “How Big Is the Random Walk in GNP?” Journal of Political Economy, 96, 893-920.
     11.Cochrane John H. (1991)” Acritique of the Application of Unit Root Tests” Journal of Economic Dynamics and Control 15, 275-284.
     12.Diebold Francis X. and Nerlove(1990)” Unit Root in Econometric Time Series: A Selective Survey” Advances in Econometrics, Volume 8 , 3-69.
     13.Dickey David A. and Wayne A. Fuller(1979)” Disturibution of the Estimators for Autoregressive Time Series with a Unit Root.” Journal of American Statistical Association, June 1979, Volume 74, 427-431.
     14.Dickey David A. and Wayne A. Fuller(1981)” Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.” Econometrica 49, 1057-1072.
     15.Dickey David A. Wayne, R. Baller and Robert B. Miller (1986)” Unit Root in Time Series Models: Test and Implication “ The American Statistician 40, 12-26.
     16.Evans G.B.A. and N.E. Savin (1984) Testing for Unit Root: 1”Econometrica 49, No 3, 753-779.
     17. Evans G.B.A. and N.E. Savin (1984)” Testing for Unit Root:2”Econometrica 52, No 5, 1241-1269.
     18.Mann, H.B. and A. Wald(1943)” On the Statistical Treatment of Linear Stochastic Difference Equations” Econometrica, 11, 172-200.
     19.Nelson Charles R. and Charles I. Plosser(1982)” Trends and Radom Walks in Macro-economics Time Series” Tournal of Monetary Economics 10, 139-162.
     20.Newey, W.K. and K.D. West(1985)” A simple Positive Difinite Heteroskedasticity and Auto Correlation Consistent Covariance Matrix” Princeton Discussion Paper No.92.
     21.Ouliaris Sam, Joon Y. Park and Peter C.B. Phillips (1988)” Testing for a Unit Root in the Presence of a Maintained Trend”
     22.Perron Pierre (1988)” Trends and Random Walks in Macro Economic Time Series” Journal of Econometric Dynamics and Control 12, 297-332.
     23.Perron Pierre (1989)” Great Crash, The Oil Price Shock and the Unit Root Hypothesis” Econometrica 57, No.6, 1361-1401
     24. Perron Pierre (1990)” Testing for a Unit Root in a Time Series with a Changing Mean “ American Statistical Assciation 8, No.2, 153-162.
     25.Phillips P.C.B.(1987)”Time Series Regression with a Unit Root Econometrica 55, No.2 ,277-301.
     26.Phillips P.C B. and Pierre Perron(1988)” Testing for a Unit Root in Time Series Regression” Biometrika 75, No.2, 335-346.
     27. Phillips P.C B.(1988)” Regression Theory for Near-Integrated Time Series” Econometric, Vol 56, No 5, 1021-1043.
     28.Said Said E. and David A. Dickey(1984),”Testing for Unit Roots in Autoregressive –Moving Average Models of Unknown Order” Biometrika 71, No.3,599-607.
     29. Said Said E. and David A. Dickey(1985),”Hypothesis Testing in ARIMA Madels” American Statistical Association 80, 390, 369-375.
     30. Said Said E. (1991), “Unit Roots Test for Time Series Data with a Linear Time Trend” Journal of Econometrics 47, 285-303
     31.Schwert G. Willian(1987) “Effects of Model Specification on Tests for Unit Roots in Macrorconmic” Journal of Monetary Economics 20, 73-103.
     32. Schwert G. Willian(1987) “Test for Unit Roots: A Monte Carlo Investigation” American Statistical Association, 7, 2, 147-159.
     33.White, J.S. (1958)” The Limmiting Distribution of the Serial Correlation Coefficient in the Explosive Case” Annals of Mathematical Statistics, 29, 1188-1197.
     34.White, J.S. (1959)” The Limmiting Distribution of the Serial Correlation Coefficient in the Explosive Case Two” Annals of Mathematical Statistics, 30, 831-834.
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/#B2002004984
資料類型 thesis
dc.contributor.advisor 汪義育zh_TW
dc.contributor.author (Authors) 張淑玲zh_TW
dc.creator (作者) 張淑玲zh_TW
dc.date (日期) 1991en_US
dc.date (日期) 1990en_US
dc.date.accessioned 2-May-2016 17:00:46 (UTC+8)-
dc.date.available 2-May-2016 17:00:46 (UTC+8)-
dc.date.issued (上傳時間) 2-May-2016 17:00:46 (UTC+8)-
dc.identifier (Other Identifiers) B2002004984en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89591-
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 第一章 研究動機及目的-------------------------1
     第二章 時間數列之非恆定性與單根檢定-------------------------6
     第一節 時間數列統計性質之刻劃與其非恆定性-------------------------6
     第二節 單根檢定之概念與基本方法-------------------------15
     第三節 單一根檢定方法之發展-------------------------30
     第四節 單一根檢定統計量的檢定力比較-------------------------46
     第五節 結語-------------------------57
     第三章 數列結構變動與單根檢定------------------------- 67
     第一節 確定時間下所發生的數列結構變動-------------------------68
     第二節 隨機水準移動時間數列模型-------------------------78
     (Random level - Shift Time Series Model)
     第三節 結語-------------------------83
     第四章 台灣總體經濟變數時間數列之實證研究-------------------------86
     第一節 實證分配表的模擬-------------------------87
     第二節 單一根檢定的實證研究-------------------------90
     第三節 數列結構變動與單根檢定的實證研究-------------------------108
     第四節 結語------------------------- 120
     第五章 結論與建議------------------------- 124
     第一節 結論-------------------------124
     第二節 建議及未來研究方向------------------------- 126
     附錄------------------------- 139
     參考文獻-------------------------142		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004984en_US
dc.title (題名) 總體時間數列非恆定性之研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 參考文獻:
     1. 汪義育(1985):「臺灣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. Anderson , T. W(1959) " On the Asymptotic Distribution of Estimates of the Parameters of Stochastic Difference Equations " Annals of Mathematical Statistics , 30 , 676-687
     3. Ahtsiaand Juh A. and George C. Tiao(1987)” A Note on Asymptotic Inference in Autoregressive Models with Roots on the Unit Circle” Journal of Time Series Analysis 8, No. 1, 15-19.
     4.Beveridge, S. and C.R Nelson(1981)”A New Approach to the Decomposition of Economic Time Series into Permanent and Transient Components with Particular Attention to Measurement of the Business Cycle “Journal of Monetary Economics, 7,151-174.
     5.Box G.E.P. and G.C. Tiao(1975)” Intervention Analysis with Applications to Economic and Environmental Problems” Journal of American Statistical Association, No. 70, 70-79.
     6.Box G.E.P. and G.M. Jenkins(1970) Time Series Analysis : Forecasting and Control. Holden Day, San Francisco.
     7.Chan Chung and G.C. Tiao(1990)” Random Level-Shift Time Series Models, ARIMA Approximations and Level-Shift Detection” Journal of Business & Economic Statistics, J Vol 8, No. 1, 83-97.
     8.Chan N.H. and C.Z. Wei(1987)” Asymptotic Inference for Nearly Nonstationary AR(1) Processes” Annals of Statistics, No. 15, 1050-1063.
     9.Chan N.H. (1988)” On the Parameter Inference for Nearly Nonstationary Time Series” Journal of the American Statistical Association, 83, 857-862.
     10.Cochrane John H. (1988) “How Big Is the Random Walk in GNP?” Journal of Political Economy, 96, 893-920.
     11.Cochrane John H. (1991)” Acritique of the Application of Unit Root Tests” Journal of Economic Dynamics and Control 15, 275-284.
     12.Diebold Francis X. and Nerlove(1990)” Unit Root in Econometric Time Series: A Selective Survey” Advances in Econometrics, Volume 8 , 3-69.
     13.Dickey David A. and Wayne A. Fuller(1979)” Disturibution of the Estimators for Autoregressive Time Series with a Unit Root.” Journal of American Statistical Association, June 1979, Volume 74, 427-431.
     14.Dickey David A. and Wayne A. Fuller(1981)” Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.” Econometrica 49, 1057-1072.
     15.Dickey David A. Wayne, R. Baller and Robert B. Miller (1986)” Unit Root in Time Series Models: Test and Implication “ The American Statistician 40, 12-26.
     16.Evans G.B.A. and N.E. Savin (1984) Testing for Unit Root: 1”Econometrica 49, No 3, 753-779.
     17. Evans G.B.A. and N.E. Savin (1984)” Testing for Unit Root:2”Econometrica 52, No 5, 1241-1269.
     18.Mann, H.B. and A. Wald(1943)” On the Statistical Treatment of Linear Stochastic Difference Equations” Econometrica, 11, 172-200.
     19.Nelson Charles R. and Charles I. Plosser(1982)” Trends and Radom Walks in Macro-economics Time Series” Tournal of Monetary Economics 10, 139-162.
     20.Newey, W.K. and K.D. West(1985)” A simple Positive Difinite Heteroskedasticity and Auto Correlation Consistent Covariance Matrix” Princeton Discussion Paper No.92.
     21.Ouliaris Sam, Joon Y. Park and Peter C.B. Phillips (1988)” Testing for a Unit Root in the Presence of a Maintained Trend”
     22.Perron Pierre (1988)” Trends and Random Walks in Macro Economic Time Series” Journal of Econometric Dynamics and Control 12, 297-332.
     23.Perron Pierre (1989)” Great Crash, The Oil Price Shock and the Unit Root Hypothesis” Econometrica 57, No.6, 1361-1401
     24. Perron Pierre (1990)” Testing for a Unit Root in a Time Series with a Changing Mean “ American Statistical Assciation 8, No.2, 153-162.
     25.Phillips P.C.B.(1987)”Time Series Regression with a Unit Root Econometrica 55, No.2 ,277-301.
     26.Phillips P.C B. and Pierre Perron(1988)” Testing for a Unit Root in Time Series Regression” Biometrika 75, No.2, 335-346.
     27. Phillips P.C B.(1988)” Regression Theory for Near-Integrated Time Series” Econometric, Vol 56, No 5, 1021-1043.
     28.Said Said E. and David A. Dickey(1984),”Testing for Unit Roots in Autoregressive –Moving Average Models of Unknown Order” Biometrika 71, No.3,599-607.
     29. Said Said E. and David A. Dickey(1985),”Hypothesis Testing in ARIMA Madels” American Statistical Association 80, 390, 369-375.
     30. Said Said E. (1991), “Unit Roots Test for Time Series Data with a Linear Time Trend” Journal of Econometrics 47, 285-303
     31.Schwert G. Willian(1987) “Effects of Model Specification on Tests for Unit Roots in Macrorconmic” Journal of Monetary Economics 20, 73-103.
     32. Schwert G. Willian(1987) “Test for Unit Roots: A Monte Carlo Investigation” American Statistical Association, 7, 2, 147-159.
     33.White, J.S. (1958)” The Limmiting Distribution of the Serial Correlation Coefficient in the Explosive Case” Annals of Mathematical Statistics, 29, 1188-1197.
     34.White, J.S. (1959)” The Limmiting Distribution of the Serial Correlation Coefficient in the Explosive Case Two” Annals of Mathematical Statistics, 30, 831-834.		zh_TW