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題名 一般化動差估計分析方法資產訂價模型之應用 作者 李沃牆
LI, WO-QIANG貢獻者 毛維凌
MAO, WEI-LING
李沃牆
LI, WO-QIANG關鍵詞 一般化動差估計法
資產訂價模型
蒙地卡羅模擬
資料產生過程
馬可夫過程
尢拉最適化條件日期 1992
1991上傳時間 2-May-2016 17:11:36 (UTC+8) 摘要 Lucas(1976) 批評當時總體時間序列的計量分析方法，且主張傳統計量模型參數會隨體制及政策而改變，基於這些評論，於是許多對。嗜好(Taste)"及"技術"(Technology)" 結構參數估計的進論方法偭開始使用動態模型中的尤拉最適化條件(Euler Optimality Conditios)來進行估計。
Lucas(1976) criticized the existing strategies for econometricic analysis of macroeconomic time series and argues that papameters of traditional econometric models are not invariant with respect to shifts in policy regimes. In response to that criticism, several inference strategies for "taste and technology" structural parameter models using Euler optimality conditions in dynamic models were suggested.參考文獻 [1] .毛慶生. (1991) " GMM - Applied in Growth Theory" , 政大經濟所演講稿. [2J: Aburdene. (1988) "Computer Simulation of Dynamic system,", ch5 . [3J:Amemiya.T. (1977)" The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the Genenal Nonlinear Simulaneous Equation Model, ", Ecometrics,45,955-968. [4 J: Bong-Soo Lee. (1988) "Solving, Estimating, and Testing a Nonlinear Stochastic Equilibrium Model, with an Example of the Asset Returns and Inflation Relationship,", Journal of Economic Dynamics and Control, 13 ,499-531. [5]: Brown, D. P. and Michael R. Gibbons. (1985) "A Simple Econometric Approach for utility-Based Asset Pricing Models," Journal of Finance, 359-381,` [6]: Cumby, R. E. et al. ( 1983) "Two-Step Two-Stage Least Square s Estimation in Models with Rational Expectations, " Journal of Econometrics, 21,333-355 [7]: Eichenbaum Mratin S. and Hansen L.P. and Singleton (1988), " A Time of Analysis Peferesemtative Agent Model Consumption and Leisure Choice under Uncer-tainly" , The Quarterly Journal of Economics , 51-78. [8J: Erhan, Cinlar(1975), "Introduction To Stochastic Process, " Prentice-Hall. [9J: Ernest, J. M. and Wold H.O. (1970) "Independent Systems Structure and Estimation", North-Holland [10]: Francis, X. Brown And Paul D. Mcnlis (1990): " Exchange Controls and Interest Rate Determination with Traded and Non-traded Assets: the Irish- United Kingdom Experience, " Georgetown University. Washington, DC, 20057, OSA [11]: Gallant, A. R. (1987)." Nonlinear statistical Modeld," New York. [12]: Ghysels Eric and Hall Alastair (1990), "A Test for structural stability of Euler Conditions Parameters Estimeted via the Generalized Method of Moments Eestimator, " International Economics Review,31 ,355-364. [13]: Grossman, Stanford J. and Robert, J. Shiller (1981)," The Determinants of the Variability of Market Prices, " American Economic Review,71,222-227. [14]: Grossman Stanford J.(1977)," Three-Stage Least-Squares Estimation for a System of Simulataneous, Nonlinear ,Implicit Equations, " Journal of Econometr.ics,5,71-78. [15]: Hall, Bronwyn. H. (1991) "Times Series Prossor (T.S.P)," Version 4.2. [16]: Hansen,Lars peter(1982)" Large Sample Properities of Generalized Method of Moments Estimators," Econometrica,50,1029-1054. [17]: _________________ (1983)" A Method for Calculating Bounds on the Asymptotic Covariance Matrices of Generalized Method of Moments Estimators," Journal of Econometrics, 30, 203-238. [18] _________________ , And Kenneth J. Singleton: (1982)" Generalized Instrument Variables Estimation of Nonlinear Rational Expectations Models " Econometrica,; 50,1269-1286. [19] _________________ , And Kenneth. J. Singleton: (1983) "Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Return," Journal of Political Economy, 91, 249-265 [20]: Hendry, D. F. (1984), "Monte Carlo Experimentation in Econometrics," in The Handbook of Econometrics, 2, pp.939-975. [21]: Judge, et al., (1988), "Introduction to the Practice of Econometrics, 2nd, New York. [22]: Larry G. Epstein and Stanley E. Zin (1991),"Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns an Empirical Analysis, " Journal of Political Economy, 99,263-268. [23]: Longstaff, F. A. (1989), "Temporal Aggregation and Continuous-Time Asset Pricing Model." Journal of Finance, no.4. [24]: ____________ ,(1989) " A Nonlinear General Equilibrium Model of the Term structure of Interest Rates, " Journal of Econom.ics,23,195-224. (25]: Lucas, Robert E. (1978), "Asset Pricing in an Exchange Econnomy ," Econometrica, 46, 1429 -14 45. [26]: Mackinlay, A. Craigand Mattew P. Richardson (1991) "Using Generalized Method of Moments to Mean-Variance Efficiency," Journal of Finance, 511-527. [27]: Mehra, Ranjnish and Edward C. Prescott, (1985) "The Equity Premium," Journal of Monetary Economics, 15, 145-161. [28]: Nelson, C. Mark,(1988)" Time-Varying Betas and Risk Premia in the Forward Foreige Exchange Contracts," Journal of Financial Economics, 22 ,335-354. [29]: Numan, Theo and Franz Palm, (1991) "Generalized Least Square Estimation of Linear Models Containing Rational Future Expections," Internation Economic Review,32,383-394. [30]: Newey, Whitney. K. and Kenneth. D. West, (1987) "Simple positive Semidefinite, Heteroskedasticity and Autovorrelation consistent Covariance Matrix, Econometrica, 55 ,703-708. [31]: Pagan, A. R. and Wickens M. R. (1989), "A Survey of some Recent Econometric Methods," The Economic Journal, 99, 962-1025. [32]: Ripley (1987) "Stochstic Simulation,", ch7. [33]: Revuz, D. (1984) " Markov Chains," 2nd , North-Holland Mathematical Liabry. [34]: Sargan, J. D. (1958) "The estimation of economic relationships using instrumental variables." Econometrica, 26, 393-415. [35]: Seber, G. A. Fand Wild. L. J. (1990) "Nonlinear Regression," [36]: Spanos, Aris, (1986) "Statistical Foundations of Econometric Modeling," Cambridge University Press. [37]: Tauchen, G. (1986) "Statistical Properties of Generalized Method of Moments Estimators of Structural Parameters Obtained form Financial Market Data, " Journal of Business & Economic statistics, 4, 397-416. [38]: __________ . (1985),"Finite State Markov-Chain Approximations To Univariate And Vector Autoregressions, "Economics Letters, 177-181. [39]: __________ . (1985), "A Note on The Asymptotic Lower Bound for The Covariance Matrix of The Estimator of The Parameters of Agents Utility Functions," Economics Letters, 20, 151-155. [40]: Taylor ,J .B and Harald Uhlig (1990) "Solving Nonlinear Stochastic Growth Model: A Comparsion of Alternative Solution Methods," Journal of Business & Economic Statistics, 8,1-17. [41]: William, H. Greene (1991) "Econometric Analysis, " 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/#B2002004709 資料類型 thesis dc.contributor.advisor 毛維凌 zh_TW dc.contributor.advisor MAO, WEI-LING en_US dc.contributor.author (Authors) 李沃牆 zh_TW dc.contributor.author (Authors) LI, WO-QIANG en_US dc.creator (作者) 李沃牆 zh_TW dc.creator (作者) LI, WO-QIANG en_US dc.date (日期) 1992 en_US dc.date (日期) 1991 en_US dc.date.accessioned 2-May-2016 17:11:36 (UTC+8) - dc.date.available 2-May-2016 17:11:36 (UTC+8) - dc.date.issued (上傳時間) 2-May-2016 17:11:36 (UTC+8) - dc.identifier (Other Identifiers) B2002004709 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89869 - 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.abstract (摘要) Lucas(1976) 批評當時總體時間序列的計量分析方法，且主張傳統計量模型參數會隨體制及政策而改變，基於這些評論，於是許多對。嗜好(Taste)"及"技術"(Technology)" 結構參數估計的進論方法偭開始使用動態模型中的尤拉最適化條件(Euler Optimality Conditios)來進行估計。 zh_TW dc.description.abstract (摘要) Lucas(1976) criticized the existing strategies for econometricic analysis of macroeconomic time series and argues that papameters of traditional econometric models are not invariant with respect to shifts in policy regimes. In response to that criticism, several inference strategies for "taste and technology" structural parameter models using Euler optimality conditions in dynamic models were suggested. en_US dc.description.tableofcontents 第一章緒論 第一節:研究動機與目的．．．．．．．．．．1 第二節:研究步驟．．．．．．．．．．2 第三節:論文結構．．．．．．．．．．2 第二章:主要分析工具及概念之回顧 第一節:一般化動差估計法(GMM)簡介．．．．．．．．．．5 本章註釋．．．．．．．．．．9 第三章:資產訂價模型參數估計—GMM之實證應用 第一節:資產訂價模型介紹．．．．．．．．．．11 第二節:資產訂價模型—GMM實證模型之建立．．．．．．．．．．17 第三節:資料來源與分析．．．．．．．．．．23 第四節:估計過程及過度確認限制的檢定問題．．．．．．．．．．26 第五節:一般化動差估計法(GMM)與最大概似法(MLE)的比較．．．．．．．．．．32 本章註釋．．．．．．．．．．37 第四章:抽樣實驗設計分析與探討 第一節:實驗設計方法介紹—Monte Carlo Experiments．．．．．．．．．．41 第二節:本模型之實驗設計．．．．．．．．．．54 第三節:實驗設計之過程說明．．．．．．．．．．63 第四節:抽樣實驗結果分析與探討．．．．．．．．．．66 本章註釋．．．．．．．．．．68 第五章:評估與總結 第一節:評估與總結．．．．．．．．．．69 第二節:未來研究方法．．．．．．．．．．71 附錄．．．．．．．．．．72 參考文獻．．．．．．．．．．110 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004709 en_US dc.subject (關鍵詞) 一般化動差估計法 zh_TW dc.subject (關鍵詞) 資產訂價模型 zh_TW dc.subject (關鍵詞) 蒙地卡羅模擬 zh_TW dc.subject (關鍵詞) 資料產生過程 zh_TW dc.subject (關鍵詞) 馬可夫過程 zh_TW dc.subject (關鍵詞) 尢拉最適化條件 zh_TW dc.title (題名) 一般化動差估計分析方法資產訂價模型之應用 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) [1] .毛慶生. (1991) " GMM - Applied in Growth Theory" , 政大經濟所演講稿. [2J: Aburdene. (1988) "Computer Simulation of Dynamic system,", ch5 . [3J:Amemiya.T. (1977)" The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the Genenal Nonlinear Simulaneous Equation Model, ", Ecometrics,45,955-968. [4 J: Bong-Soo Lee. (1988) "Solving, Estimating, and Testing a Nonlinear Stochastic Equilibrium Model, with an Example of the Asset Returns and Inflation Relationship,", Journal of Economic Dynamics and Control, 13 ,499-531. [5]: Brown, D. P. and Michael R. Gibbons. (1985) "A Simple Econometric Approach for utility-Based Asset Pricing Models," Journal of Finance, 359-381,` [6]: Cumby, R. E. et al. ( 1983) "Two-Step Two-Stage Least Square s Estimation in Models with Rational Expectations, " Journal of Econometrics, 21,333-355 [7]: Eichenbaum Mratin S. and Hansen L.P. and Singleton (1988), " A Time of Analysis Peferesemtative Agent Model Consumption and Leisure Choice under Uncer-tainly" , The Quarterly Journal of Economics , 51-78. [8J: Erhan, Cinlar(1975), "Introduction To Stochastic Process, " Prentice-Hall. [9J: Ernest, J. M. and Wold H.O. (1970) "Independent Systems Structure and Estimation", North-Holland [10]: Francis, X. Brown And Paul D. Mcnlis (1990): " Exchange Controls and Interest Rate Determination with Traded and Non-traded Assets: the Irish- United Kingdom Experience, " Georgetown University. Washington, DC, 20057, OSA [11]: Gallant, A. R. (1987)." Nonlinear statistical Modeld," New York. [12]: Ghysels Eric and Hall Alastair (1990), "A Test for structural stability of Euler Conditions Parameters Estimeted via the Generalized Method of Moments Eestimator, " International Economics Review,31 ,355-364. [13]: Grossman, Stanford J. and Robert, J. Shiller (1981)," The Determinants of the Variability of Market Prices, " American Economic Review,71,222-227. [14]: Grossman Stanford J.(1977)," Three-Stage Least-Squares Estimation for a System of Simulataneous, Nonlinear ,Implicit Equations, " Journal of Econometr.ics,5,71-78. [15]: Hall, Bronwyn. H. (1991) "Times Series Prossor (T.S.P)," Version 4.2. [16]: Hansen,Lars peter(1982)" Large Sample Properities of Generalized Method of Moments Estimators," Econometrica,50,1029-1054. [17]: _________________ (1983)" A Method for Calculating Bounds on the Asymptotic Covariance Matrices of Generalized Method of Moments Estimators," Journal of Econometrics, 30, 203-238. [18] _________________ , And Kenneth J. Singleton: (1982)" Generalized Instrument Variables Estimation of Nonlinear Rational Expectations Models " Econometrica,; 50,1269-1286. [19] _________________ , And Kenneth. J. Singleton: (1983) "Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Return," Journal of Political Economy, 91, 249-265 [20]: Hendry, D. F. (1984), "Monte Carlo Experimentation in Econometrics," in The Handbook of Econometrics, 2, pp.939-975. [21]: Judge, et al., (1988), "Introduction to the Practice of Econometrics, 2nd, New York. [22]: Larry G. Epstein and Stanley E. Zin (1991),"Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns an Empirical Analysis, " Journal of Political Economy, 99,263-268. [23]: Longstaff, F. A. (1989), "Temporal Aggregation and Continuous-Time Asset Pricing Model." Journal of Finance, no.4. [24]: ____________ ,(1989) " A Nonlinear General Equilibrium Model of the Term structure of Interest Rates, " Journal of Econom.ics,23,195-224. (25]: Lucas, Robert E. (1978), "Asset Pricing in an Exchange Econnomy ," Econometrica, 46, 1429 -14 45. [26]: Mackinlay, A. Craigand Mattew P. Richardson (1991) "Using Generalized Method of Moments to Mean-Variance Efficiency," Journal of Finance, 511-527. [27]: Mehra, Ranjnish and Edward C. Prescott, (1985) "The Equity Premium," Journal of Monetary Economics, 15, 145-161. [28]: Nelson, C. Mark,(1988)" Time-Varying Betas and Risk Premia in the Forward Foreige Exchange Contracts," Journal of Financial Economics, 22 ,335-354. [29]: Numan, Theo and Franz Palm, (1991) "Generalized Least Square Estimation of Linear Models Containing Rational Future Expections," Internation Economic Review,32,383-394. [30]: Newey, Whitney. K. and Kenneth. D. West, (1987) "Simple positive Semidefinite, Heteroskedasticity and Autovorrelation consistent Covariance Matrix, Econometrica, 55 ,703-708. [31]: Pagan, A. R. and Wickens M. R. (1989), "A Survey of some Recent Econometric Methods," The Economic Journal, 99, 962-1025. [32]: Ripley (1987) "Stochstic Simulation,", ch7. [33]: Revuz, D. (1984) " Markov Chains," 2nd , North-Holland Mathematical Liabry. [34]: Sargan, J. D. (1958) "The estimation of economic relationships using instrumental variables." Econometrica, 26, 393-415. [35]: Seber, G. A. Fand Wild. L. J. (1990) "Nonlinear Regression," [36]: Spanos, Aris, (1986) "Statistical Foundations of Econometric Modeling," Cambridge University Press. [37]: Tauchen, G. (1986) "Statistical Properties of Generalized Method of Moments Estimators of Structural Parameters Obtained form Financial Market Data, " Journal of Business & Economic statistics, 4, 397-416. [38]: __________ . (1985),"Finite State Markov-Chain Approximations To Univariate And Vector Autoregressions, "Economics Letters, 177-181. [39]: __________ . (1985), "A Note on The Asymptotic Lower Bound for The Covariance Matrix of The Estimator of The Parameters of Agents Utility Functions," Economics Letters, 20, 151-155. [40]: Taylor ,J .B and Harald Uhlig (1990) "Solving Nonlinear Stochastic Growth Model: A Comparsion of Alternative Solution Methods," Journal of Business & Economic Statistics, 8,1-17. [41]: William, H. Greene (1991) "Econometric Analysis, " zh_TW
