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題名 雙率與雙價之預測-時間數列實證分析--時間數列實證分析-- 作者 王旭丁
WANG, XU-DING貢獻者 高安邦
GAO, AN-BANG
王旭丁
WANG, XU-DING關鍵詞 時間數列
雙率
雙價日期 1992
1991上傳時間 2-May-2016 17:11:34 (UTC+8) 參考文獻 1. 王尚義一「落霞與孤驚」一水牛文庫，民國72 年。2. 尼采一「查拉圖斯特拉如是說」一志文出版社，民國73年。3. 陳江、劉榮木、刃錦寰、蔡瑞胸一「特異及干擾效應在動態迴歸之偵測與分析」一中國統計學報，第29 卷第一期， 80 年3 月pl-26 。4.SCA 使用手冊5.Akaike;H.(1976)-"Canonical Correlation Analysis of Time Series and the use of an Information Criterion" in mehra,R and Lainiotis,D. (eds) -Advance and Case Studies in System Identification,NY:Academic Press,27-95.6.Aksu,C.and Narayan,J.Y.(1991)-"Forecasting with vector ARMA and state space Methods"-. International Journal of Forecasting,17-30.7.Box,G.E.P and Tiao,G.C.(1977)-"A Canonical analysis of multiple Time Series" -Biometrika, 64,355-365.8.Chen,Lin.and Hudak (1990) - "Outlier Detection and Adjustment in Time Series Modeling and Forecasting"-Working Paper.9.Doan,T.A(1988):User`s Manual :RATS,Version 3,000.10.Grillenzoni,C. (1991) - "Simultaneous Transfer Function versus Vector ARMA Models"-Journal of Forecasting 477-499.11.R.W.Hafer,R.G.Sheehan(1989)- "The Sensitivity of VAR Forecasts to Alternative Lag Stru ctures"- International Journal of Forecasting, 399-408.12.D.M.Hanssens,L.M.Liu(1983) -"Lag Speafication in Rational Distributed Lag Structural Models"-Journal of Business & Economic Statistics,315-325.13.An-Pang Kao(1986)-"The Forecasting Performance of Alternative Techniques:An Application to the Groundfish Prices in the U.S.",Doctoral Thesis,University of Massachusetts.14.G.Kitagawa-"State Space Modeling of Nonstationary Time Series and Smoothing of Unequally Spaced Data"-Lecture Notes in Statistics.15.S.G.Koreisha(1983)-"Estimation and Forecasting of Equations with Expectaions Variables using multiple Input Transfer Functions "-Time Series analysis:Theory and Practice 4,137-153.16.Liu and Hudak(1985)- "Unified Econometric Model Building Uising Simultaneous Transfer Function Equations" in Anderson O.D. (eds) – Time Serier Analysis:Theory and Practice,7,277-288.17.Liu and Hanseens (1982)-"Identification of Multiple Input Transfer Function Models",-Communication in Statistics-Theory and method 11,297-314.18.Liu Lon-Mu (1987) - "Sales Forecasting using Multi-Equation Transfer Function Models",-Journal of Forecastiong,6,223-238.19.S.Mittnik(1990)-"Macroecononic Forecasting Experience with Balanced State Space Mdels"-International Journal of Forecasting,337-348.20 . Narayan J. Y . and Aksu , C . ( 1985 ) - " Causality Testing Based on Ex Ante Forecasts",in Anderson,O.D .(eds),--Time Series Analysis:Theory and Practice7,263-275.21.SAS/ETS:User`s Guide,Version 6,1988.22.T .Sastri (1985)-"A State Space Modeling Approach for Time Series Forecasting"- Management Science,1451-1470.23.B.L.Shea (1984)-"Maximum Likelihood Estimation of Multivariate ARMA Processes via The Kalman Filter” in Anderson ,O . D . ( e d s ) -Time Series Analysis : Theory and Practice 5,91-101.24.Tsay,R.S(1990)-Multivariate Time Series Analysis.25 .Tsay,R.S.(1990)- Regression Models with Time Series Errors.-Working Paper.26.Tsay R.S. and Tiao,G.C. (1984) Consistent Estimates of Autoregressive Parameters and Extended Sample Auto correlation Functions for Stationany and Nonstation ary ARMA models.-Journal of American Statistic Association,79,84-96.27.Vinod and Hui(1983) __ "A Canonical Correlation Approach to State Vector Analysis of Capital Appropriations and Expenditure"in Anderson,O.D.(eds.),--Tirne Sries Analysis:Theory and Practice 4,229-236. 描述 碩士
國立政治大學
經濟學系資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004708 資料類型 thesis dc.contributor.advisor 高安邦 zh_TW dc.contributor.advisor GAO, AN-BANG en_US dc.contributor.author (Authors) 王旭丁 zh_TW dc.contributor.author (Authors) WANG, XU-DING en_US dc.creator (作者) 王旭丁 zh_TW dc.creator (作者) WANG, XU-DING en_US dc.date (日期) 1992 en_US dc.date (日期) 1991 en_US dc.date.accessioned 2-May-2016 17:11:34 (UTC+8) - dc.date.available 2-May-2016 17:11:34 (UTC+8) - dc.date.issued (上傳時間) 2-May-2016 17:11:34 (UTC+8) - dc.identifier (Other Identifiers) B2002004708 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89868 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description.tableofcontents 第一章前言．．．．．．．．．．1第二章時間數列預測模型．．．．．．．．．．3第一節聯立轉移函數模型（ＳＴＦ）．．．．．．．．．．3第二節狀況空間模型（ＳＳ）．．．．．．．．．．15第三節向量自我迴歸模型（ＶＡＲ）．．．．．．．．．．24第四節理論模型比較．．．．．．．．．．31第三章雙率與雙價之預測．．．．．．．．．．33第一節ＳＴＦ模型實證分析．．．．．．．．．．35第二節ＳＳ模型實證分析．．．．．．．．．．46第三節ＶＡＲ模型實證分析．．．．．．．．．．55第四節模型實證分析．．．．．．．．．．63第四章結論．．．．．．．．．．70參考文獻．．．．．．．．．．76 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004708 en_US dc.subject (關鍵詞) 時間數列 zh_TW dc.subject (關鍵詞) 雙率 zh_TW dc.subject (關鍵詞) 雙價 zh_TW dc.title (題名) 雙率與雙價之預測-時間數列實證分析--時間數列實證分析-- zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1. 王尚義一「落霞與孤驚」一水牛文庫，民國72 年。2. 尼采一「查拉圖斯特拉如是說」一志文出版社，民國73年。3. 陳江、劉榮木、刃錦寰、蔡瑞胸一「特異及干擾效應在動態迴歸之偵測與分析」一中國統計學報，第29 卷第一期， 80 年3 月pl-26 。4.SCA 使用手冊5.Akaike;H.(1976)-"Canonical Correlation Analysis of Time Series and the use of an Information Criterion" in mehra,R and Lainiotis,D. (eds) -Advance and Case Studies in System Identification,NY:Academic Press,27-95.6.Aksu,C.and Narayan,J.Y.(1991)-"Forecasting with vector ARMA and state space Methods"-. International Journal of Forecasting,17-30.7.Box,G.E.P and Tiao,G.C.(1977)-"A Canonical analysis of multiple Time Series" -Biometrika, 64,355-365.8.Chen,Lin.and Hudak (1990) - "Outlier Detection and Adjustment in Time Series Modeling and Forecasting"-Working Paper.9.Doan,T.A(1988):User`s Manual :RATS,Version 3,000.10.Grillenzoni,C. (1991) - "Simultaneous Transfer Function versus Vector ARMA Models"-Journal of Forecasting 477-499.11.R.W.Hafer,R.G.Sheehan(1989)- "The Sensitivity of VAR Forecasts to Alternative Lag Stru ctures"- International Journal of Forecasting, 399-408.12.D.M.Hanssens,L.M.Liu(1983) -"Lag Speafication in Rational Distributed Lag Structural Models"-Journal of Business & Economic Statistics,315-325.13.An-Pang Kao(1986)-"The Forecasting Performance of Alternative Techniques:An Application to the Groundfish Prices in the U.S.",Doctoral Thesis,University of Massachusetts.14.G.Kitagawa-"State Space Modeling of Nonstationary Time Series and Smoothing of Unequally Spaced Data"-Lecture Notes in Statistics.15.S.G.Koreisha(1983)-"Estimation and Forecasting of Equations with Expectaions Variables using multiple Input Transfer Functions "-Time Series analysis:Theory and Practice 4,137-153.16.Liu and Hudak(1985)- "Unified Econometric Model Building Uising Simultaneous Transfer Function Equations" in Anderson O.D. (eds) – Time Serier Analysis:Theory and Practice,7,277-288.17.Liu and Hanseens (1982)-"Identification of Multiple Input Transfer Function Models",-Communication in Statistics-Theory and method 11,297-314.18.Liu Lon-Mu (1987) - "Sales Forecasting using Multi-Equation Transfer Function Models",-Journal of Forecastiong,6,223-238.19.S.Mittnik(1990)-"Macroecononic Forecasting Experience with Balanced State Space Mdels"-International Journal of Forecasting,337-348.20 . Narayan J. Y . and Aksu , C . ( 1985 ) - " Causality Testing Based on Ex Ante Forecasts",in Anderson,O.D .(eds),--Time Series Analysis:Theory and Practice7,263-275.21.SAS/ETS:User`s Guide,Version 6,1988.22.T .Sastri (1985)-"A State Space Modeling Approach for Time Series Forecasting"- Management Science,1451-1470.23.B.L.Shea (1984)-"Maximum Likelihood Estimation of Multivariate ARMA Processes via The Kalman Filter” in Anderson ,O . D . ( e d s ) -Time Series Analysis : Theory and Practice 5,91-101.24.Tsay,R.S(1990)-Multivariate Time Series Analysis.25 .Tsay,R.S.(1990)- Regression Models with Time Series Errors.-Working Paper.26.Tsay R.S. and Tiao,G.C. (1984) Consistent Estimates of Autoregressive Parameters and Extended Sample Auto correlation Functions for Stationany and Nonstation ary ARMA models.-Journal of American Statistic Association,79,84-96.27.Vinod and Hui(1983) __ "A Canonical Correlation Approach to State Vector Analysis of Capital Appropriations and Expenditure"in Anderson,O.D.(eds.),--Tirne Sries Analysis:Theory and Practice 4,229-236. zh_TW
