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題名 公共支出與國民所得之因果關係 : 臺灣地區之實證分析
作者 蔡玉時
貢獻者 汪義育
蔡玉時
日期 1991
1990
上傳時間 2-May-2016 17:03:06 (UTC+8)
參考文獻 一、中文部分：
     1. 汪義育，〝簡論因果關係〞，民意學術專刊， 民國75年春季號。
     2. 汪義育， 總體經濟時間數列分析之方法與運用，華泰書局， 民國78年2月出版。
     3. 徐偉初(1986) ，〝我國國民所得與公共支出：因果關係之實證檢定〞，國立政治大學學報第54期， P65-85。
     4. 孫克難(1985) ，〝國民所得與公共支出， 因果關係之測定〞，企銀季刊， 第九卷， p80-92 。
     5. 蔡麗茹，〝台灣總體經濟變數之因果關係檢定〞，國立政治大學國際貿易研究所碩士論文， 民國77年6月。
     
     二、英文部分：
     1.Ahsan S.M., Andy C.C. Kwan and B.S. Sahni(1989), " Causality Between Consumption Expenditure and Nation Income: DECO Countries", Public Finance, Vo144, NO.2, P204-213.
     2.Bessler D.A. and J.L. Kling (1984), "A Note on Tests of Granger Causality", Applied
     Economics, 16, P335-42.
     3.Chowdhury A.R. (1987)," Are Causal Relationship sensitive to Causality Tests? " Applied Economics, 19, P459-465.
     4.Cochrane J.H. (1991) "A Critique of the Application of Unit Root Tests", Journal of Economic Dynamics and Control, 15, P275-284.
     5.Cooley T.F. and S.F. Leroy (1985). "Atheoretical Macroeconometrics : A Critique", Journal of Monetary Economics.16,P283-308.
     6.Dickey D.A. and V.A. Fuller (1979), " Distribution of the Estimations for Autoregressive Time Series with a Unit Root", Journal of the American Statistical Associaton, 74. P427-431.
     7.Dickey D.A. and V.A. Fuller (1981). "Likelihood Ratio Statistics for Autoregressive Time Series With a Unit Root", Econometrica.49.No.4,P1057-1072.
     8.Dickey D.A.,`J.R . Bell and R.B. Miller (1986), "Unit Roots in Time Series Models :Tests and Implications", Journal of American Statistical Association, vol 40,No.1. P12-26.
     9.Engle, R.F . and C.W.J. Granger (1987), "CoIntegeration and Error Correction: Representation Estimation and Testing", Econometrica,55,P251-76.
     10.Fuller W.A. (976), Introduction to Statistical Time Series, New York, John Wiley and Sons, chapter 8.
     11.Geweke J.,R. Meese and W. Dent(1983), "Comparing Alternative Tests of Causality in Temporal Systems", Journal of Econometrics,21,P161-94.
     12.Geweke J. (1984), "Inference and Causality in Economic Time Series Models", ind Griliches Z. and Intrligator H.D. (eds) Handbook of Econometrica, vol 2. p.l101-1142.
     13.Granger C.W.J (980), "Testing for Causality : A Personal View Point" ,Journal of Economic Dynamics and Control,2,P329-52.
     14.Granger C.W.J (1988), "Some Evident Development in a Concept of Causality" Journal of Econometrics,39,P199-211.
     15.Harvey, A. C. The Econometric Analysis of Time Series, New York: Second Editcon,1990 .
     16.Holmes J.M. and P.A.Hutton (1988), "A Functional - Form Distribution – Free Alternative to Paramatric Analysis of Granger Causal Models ", Advances in Econometrics ,7, P211-225.
     17.Holmes J.M. and R.A. Hutton (1988)," Optimal Model Selestion When the True Relationship Is Weak and Occurs with a Delay," Economics Letter,30,P333-339.
     18.Holmes J.M. and Hutton P.A, (1990)," Small Sample Properties of the Multiple Rank F -Test with Lagged Dependent Varibles", Economics Letter 33,P55-61.
     19.Holmes J.M. and Hutton P.A. (1990)," On the Causal Relationship Betweem Government Expenditures and National Income" ,The Review of Economics and Statistics, P87-95.
     20.Hsiao C. (1979),~ Causality Test in Econometrics ~, Journal of Economic Dynamics and Control ,1,P321-46.
     21.Hsiao c. (1981),~ Autoregressive Modeling and Money - Income Causality Detection", Journal of Monetary Economics,7,P85-106.
     22.Hsiao C, (1982),~ Autoregressive Modeling and Causal Ordering of Economic Varibles " ,Journal of Economic Dynamics and Control,4,P243-259.
     23.Kim W. and K. Ro (1988), A Causal VARMA Model Analysis with an Application to Canadian Money and Income Data h ,Applied Economjcs,20, P1107-83.
     24.Lutkepohl H. (1982), "Non - Causality Due to Omitted Varibles", Journal of Econometrjcs,19 ,P367-78.
     25.Nagarajan P. and A. Spears (1989), "No Causality Between Government Expenditure and -conomic Growth A Comment ", Public Finance, P134-149.
     26.Ouliaris S., J.Y. Park and Peter C.B. Phillips (1989), "Testing For a Unit Root in the Presence of a Maintained Trend ", Advance in Econometrics 5th World Congress (Econometric Society Monographs) p7-27.
     27.Phillips Peter C.B. and P. Perror(1988), "Testing for a Unit Root in Time Series Regression" ,Bioletrika,75,No.2,P335-46.
     28.Pierce D.A. and L.D. Haugh (1977), "Causality in Temporal System: Characterizations and a Survey ", Journal of Econometrics,5,P265-293.
     29.Pierce D.A. and L.D. Haugh (1979), " The Characterization of Instaneous Causality: A Comment ", Journal of EcoDometrics,lO,P257-59.
     30.Price J.M. (1979), "The Characterization of Instantaneous Causality ", Journal of Econometrics,10,P253-56.
     31.Ram R, (1986), "Government Size and Economic Growth : A Hew Framework and Some Evidence from Cross - Section and Time Series Data " , The American Economic Review, vol 76,No.l, P191-203.
     32.Ral R. (1987), "Wagner`s Hypothesis in Time-Seried and Cross - Section Perspectives: Evidence From Real Data for 115 Countri.es ", The Review of Economics and Statistics, P194-204.
     33.Roberts D.L. and S. Nord (1985), " Causality Tests and Functional Form Sensitivity " , Applied Economjcs,17,P135-41.
     34.Sahni B.S. and B. Singh (1984) " On The Causality Directions Between National Income and Government Expenditure In Canada " ,Public Finance No.3,P359-93.
     35.Said S.E. (1991), "Unit - Roots Test for Time - Series Data with a Linear Time Trend ",Journal of Econometrics,47, P285-303.
     36.Schwert G.V. (1987), "Effects of Model Specification on Tests for Unit Roots in Macroeconomic Data ", Journal of Monetary Economjcs,20,P73-103.
     37.Schwert G.V. (1989), "Tests for Unit Roots: A Monte Carlo Investigation", Journal of Bussiness & Economic Statistics, vol 7,No.2, P147-159.
     38.Sims C.A.,J.R. Stock, and .V. Watson (1990), "Inference in Linear Time Series Model with Some Unit Roots, Econometrica, vol 58, Pl13-44.
     39.Speight Alan E.H. and R.MacDonald (1989), " Does the Public Sector Obey the Rational Expectations - Permanent Income Hypothesis? A Multi - Country Study of the Time Series Properties of Government. Expenditures", Applied Economjcs,21,P1257-1266.
     40.Stock, J.R. and M.W. Waston (1989), "Interpreting the Evidence on Money – Income Causality ". Journal of Econometrics, vol 40, P161-81.
     41.Thornton Daniel L. and Dallas S. Batten (1985) , " Lag - Length Selection and Tests of Granger Caussality between Money and Inocme ", Journal of Money. Credit. and Banking. vol 17,No.2, P164-178.
     42.Tiao,G.C. and R.S. Tsay (1983), "Multiple Time Series Modeling and Extended Sample Cross -Correlations", J,B,E,S" 1,No.1,P43-56.
     43.Tiao,G.C. and R.S. Tasy (1984), "Consistent Estimates of Autogressive Paramet and Exteded Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models ", J.A.S,A. ,vol 79 , P84-96.
     44.Urbain J.P. (1989), " Model Selection Criteria and Granger Causality Tests :An Empirical Note " ,Ecooomics Letters,29,P317-20.
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/#B2002004945
資料類型 thesis
dc.contributor.advisor 汪義育zh_TW
dc.contributor.author (Authors) 蔡玉時zh_TW
dc.creator (作者) 蔡玉時zh_TW
dc.date (日期) 1991en_US
dc.date (日期) 1990en_US
dc.date.accessioned 2-May-2016 17:03:06 (UTC+8)-
dc.date.available 2-May-2016 17:03:06 (UTC+8)-
dc.date.issued (上傳時間) 2-May-2016 17:03:06 (UTC+8)-
dc.identifier (Other Identifiers) B2002004945en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89649-
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 公共支出與國民所得之關係..................2
     第三節 因果關係的概念及設定方法.................. 6
     第四節 研究大綱..................7
     第二章 傳統的因果關係檢定方法..................10
     第一節 因果關係的定義.................. 10
     第二節 傳統的因果關係統計檢定方法..................13
     第三節 統計模型之設定方法f..................19
     第三章 無母數因果關係檢定方法.................. 27
     第一節 理論發展..................27
     第二節 無母數因果關係檢定方法..................32
     第三節 無母數方法與傳統方法之比較..................36
     第四章 非恆定性下因果關係檢定方法..................41
     第一節 非恆定性的問題..................41
     第二節 單根檢定方法..................42
     第三節 趨勢恆定及差分恆定..................44
     第四節 單根檢定之檢討及因果關係檢定之修正..................49
     第五章 台灣地區之實証分析..................53
     第一節 變數之單根檢定實証分析..................55
     第二節 區塊排除VAR 實証分析..................60
     第三節 Rank 下區塊排除VAR 實証分析..................67
     第四節 VARMA 實証分析.................. 77
     第五節 結論..................85
     第六章 結論及建議..................89
     第一節結論及限制..................89
     第二節建議..................90
     附錄(一)資料的來源及處理..................92
     附錄(二)雙變數下VAR. Rank F.
     HVAR 模型之G 、Y 實証分析..................94
     參考文獻..................105		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004945en_US
dc.title (題名) 公共支出與國民所得之因果關係 : 臺灣地區之實證分析zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、中文部分：
     1. 汪義育，〝簡論因果關係〞，民意學術專刊， 民國75年春季號。
     2. 汪義育， 總體經濟時間數列分析之方法與運用，華泰書局， 民國78年2月出版。
     3. 徐偉初(1986) ，〝我國國民所得與公共支出：因果關係之實證檢定〞，國立政治大學學報第54期， P65-85。
     4. 孫克難(1985) ，〝國民所得與公共支出， 因果關係之測定〞，企銀季刊， 第九卷， p80-92 。
     5. 蔡麗茹，〝台灣總體經濟變數之因果關係檢定〞，國立政治大學國際貿易研究所碩士論文， 民國77年6月。
     
     二、英文部分：
     1.Ahsan S.M., Andy C.C. Kwan and B.S. Sahni(1989), " Causality Between Consumption Expenditure and Nation Income: DECO Countries", Public Finance, Vo144, NO.2, P204-213.
     2.Bessler D.A. and J.L. Kling (1984), "A Note on Tests of Granger Causality", Applied
     Economics, 16, P335-42.
     3.Chowdhury A.R. (1987)," Are Causal Relationship sensitive to Causality Tests? " Applied Economics, 19, P459-465.
     4.Cochrane J.H. (1991) "A Critique of the Application of Unit Root Tests", Journal of Economic Dynamics and Control, 15, P275-284.
     5.Cooley T.F. and S.F. Leroy (1985). "Atheoretical Macroeconometrics : A Critique", Journal of Monetary Economics.16,P283-308.
     6.Dickey D.A. and V.A. Fuller (1979), " Distribution of the Estimations for Autoregressive Time Series with a Unit Root", Journal of the American Statistical Associaton, 74. P427-431.
     7.Dickey D.A. and V.A. Fuller (1981). "Likelihood Ratio Statistics for Autoregressive Time Series With a Unit Root", Econometrica.49.No.4,P1057-1072.
     8.Dickey D.A.,`J.R . Bell and R.B. Miller (1986), "Unit Roots in Time Series Models :Tests and Implications", Journal of American Statistical Association, vol 40,No.1. P12-26.
     9.Engle, R.F . and C.W.J. Granger (1987), "CoIntegeration and Error Correction: Representation Estimation and Testing", Econometrica,55,P251-76.
     10.Fuller W.A. (976), Introduction to Statistical Time Series, New York, John Wiley and Sons, chapter 8.
     11.Geweke J.,R. Meese and W. Dent(1983), "Comparing Alternative Tests of Causality in Temporal Systems", Journal of Econometrics,21,P161-94.
     12.Geweke J. (1984), "Inference and Causality in Economic Time Series Models", ind Griliches Z. and Intrligator H.D. (eds) Handbook of Econometrica, vol 2. p.l101-1142.
     13.Granger C.W.J (980), "Testing for Causality : A Personal View Point" ,Journal of Economic Dynamics and Control,2,P329-52.
     14.Granger C.W.J (1988), "Some Evident Development in a Concept of Causality" Journal of Econometrics,39,P199-211.
     15.Harvey, A. C. The Econometric Analysis of Time Series, New York: Second Editcon,1990 .
     16.Holmes J.M. and P.A.Hutton (1988), "A Functional - Form Distribution – Free Alternative to Paramatric Analysis of Granger Causal Models ", Advances in Econometrics ,7, P211-225.
     17.Holmes J.M. and R.A. Hutton (1988)," Optimal Model Selestion When the True Relationship Is Weak and Occurs with a Delay," Economics Letter,30,P333-339.
     18.Holmes J.M. and Hutton P.A, (1990)," Small Sample Properties of the Multiple Rank F -Test with Lagged Dependent Varibles", Economics Letter 33,P55-61.
     19.Holmes J.M. and Hutton P.A. (1990)," On the Causal Relationship Betweem Government Expenditures and National Income" ,The Review of Economics and Statistics, P87-95.
     20.Hsiao C. (1979),~ Causality Test in Econometrics ~, Journal of Economic Dynamics and Control ,1,P321-46.
     21.Hsiao c. (1981),~ Autoregressive Modeling and Money - Income Causality Detection", Journal of Monetary Economics,7,P85-106.
     22.Hsiao C, (1982),~ Autoregressive Modeling and Causal Ordering of Economic Varibles " ,Journal of Economic Dynamics and Control,4,P243-259.
     23.Kim W. and K. Ro (1988), A Causal VARMA Model Analysis with an Application to Canadian Money and Income Data h ,Applied Economjcs,20, P1107-83.
     24.Lutkepohl H. (1982), "Non - Causality Due to Omitted Varibles", Journal of Econometrjcs,19 ,P367-78.
     25.Nagarajan P. and A. Spears (1989), "No Causality Between Government Expenditure and -conomic Growth A Comment ", Public Finance, P134-149.
     26.Ouliaris S., J.Y. Park and Peter C.B. Phillips (1989), "Testing For a Unit Root in the Presence of a Maintained Trend ", Advance in Econometrics 5th World Congress (Econometric Society Monographs) p7-27.
     27.Phillips Peter C.B. and P. Perror(1988), "Testing for a Unit Root in Time Series Regression" ,Bioletrika,75,No.2,P335-46.
     28.Pierce D.A. and L.D. Haugh (1977), "Causality in Temporal System: Characterizations and a Survey ", Journal of Econometrics,5,P265-293.
     29.Pierce D.A. and L.D. Haugh (1979), " The Characterization of Instaneous Causality: A Comment ", Journal of EcoDometrics,lO,P257-59.
     30.Price J.M. (1979), "The Characterization of Instantaneous Causality ", Journal of Econometrics,10,P253-56.
     31.Ram R, (1986), "Government Size and Economic Growth : A Hew Framework and Some Evidence from Cross - Section and Time Series Data " , The American Economic Review, vol 76,No.l, P191-203.
     32.Ral R. (1987), "Wagner`s Hypothesis in Time-Seried and Cross - Section Perspectives: Evidence From Real Data for 115 Countri.es ", The Review of Economics and Statistics, P194-204.
     33.Roberts D.L. and S. Nord (1985), " Causality Tests and Functional Form Sensitivity " , Applied Economjcs,17,P135-41.
     34.Sahni B.S. and B. Singh (1984) " On The Causality Directions Between National Income and Government Expenditure In Canada " ,Public Finance No.3,P359-93.
     35.Said S.E. (1991), "Unit - Roots Test for Time - Series Data with a Linear Time Trend ",Journal of Econometrics,47, P285-303.
     36.Schwert G.V. (1987), "Effects of Model Specification on Tests for Unit Roots in Macroeconomic Data ", Journal of Monetary Economjcs,20,P73-103.
     37.Schwert G.V. (1989), "Tests for Unit Roots: A Monte Carlo Investigation", Journal of Bussiness & Economic Statistics, vol 7,No.2, P147-159.
     38.Sims C.A.,J.R. Stock, and .V. Watson (1990), "Inference in Linear Time Series Model with Some Unit Roots, Econometrica, vol 58, Pl13-44.
     39.Speight Alan E.H. and R.MacDonald (1989), " Does the Public Sector Obey the Rational Expectations - Permanent Income Hypothesis? A Multi - Country Study of the Time Series Properties of Government. Expenditures", Applied Economjcs,21,P1257-1266.
     40.Stock, J.R. and M.W. Waston (1989), "Interpreting the Evidence on Money – Income Causality ". Journal of Econometrics, vol 40, P161-81.
     41.Thornton Daniel L. and Dallas S. Batten (1985) , " Lag - Length Selection and Tests of Granger Caussality between Money and Inocme ", Journal of Money. Credit. and Banking. vol 17,No.2, P164-178.
     42.Tiao,G.C. and R.S. Tsay (1983), "Multiple Time Series Modeling and Extended Sample Cross -Correlations", J,B,E,S" 1,No.1,P43-56.
     43.Tiao,G.C. and R.S. Tasy (1984), "Consistent Estimates of Autogressive Paramet and Exteded Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models ", J.A.S,A. ,vol 79 , P84-96.
     44.Urbain J.P. (1989), " Model Selection Criteria and Granger Causality Tests :An Empirical Note " ,Ecooomics Letters,29,P317-20.		zh_TW