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題名 非線型動態模型檢定與在總體經濟模型之應用 作者 莊委桐
ZHUANG, WEI-TONG貢獻者 毛維凌
MAO, WEI-LING
莊委桐
ZHUANG, WEI-TONG關鍵詞 檢定
動態模型日期 1992
1991上傳時間 2-May-2016 17:11:40 (UTC+8) 參考文獻 林和 譯(1991)混沌:不測風雲的背後，天下文化Ashley, R. and Patterson, D. (1985) " Linear Versus Nonlinear Macroeconomies: A Statistical Test." Economics Department Working Paper No.85-12-01,Virginia polytechnic Institute.Ashley, R. and Patterson, D. (1989) " Linear Versus Nonlinear Macroeconomies: A Statistical Test." International Economic Review Vol.30 ,No.3. pp.685-704.Bala, V. & Majumdar, M. (1990) "Chaos in the Discrete-Time Tatonnement Process" Working Paper #431 , Cornell University.Barnett, W. & Chen, P. (1987)"The Aggregation-theoretic Monetary Aggregates are Chaotic and have Strange Attractors" in Barnett, Berndt & White eds. Dynamic Econometric Modelling, Cambridge University Press.Barnett, W. & Choi, S. (1988) "A Comparison Between the Convensional Econometric Approach to Structural Inference and the Nonparametric Chaotic Attractor Approach." In Economic Complexity: Chaos, Sunspots, Bubbles, and Nonlinearity, Proceedings of the Fourth International Symposium in Economic Theoryand Econometrics, W. Barnett, J. Gewekw, and K. Shell, Eds. Cambridge: Cambridge Univ. Press.Brock, W., Dechert, W. & Scheinkman, J.(1987) "A Test for Independence Based on the Correlation Dimension." Department of Economics, Univ. of Wisconsin-Madison, Univ. of Houston, and Univ. of Chicago.Brock, W. & Sayers, C. (1988) "Is the Business Cycle Characterized by Deterministic Chaos", JL. of Monetary Economics, 22, pp.71-90.Brock, W. & Beak, E.(1991) "Some Theory of Statistical Inference for Nonlinear Science" Review of Economic Studies, 58, pp.697-716.Chen, P. (1988) "Empirical and Theoretical Evidence of Economic Chaos" , System Dynamics Review, Vol. 4, pp.81-108.Day, Richard (1982) "Irregular Growth Cycles" The American Economic Review, vol.72, No.3, pp.406-14.Day, R. & Lin, T. (1991) "An Adaptive Neoclassical Models of Growth Fluctuations" In Dimitri ed., Alternative Approaches to Macroeconomics , Oxford University Press.Diebold, F. & Rudebusch, G. (1991) "Is Consumptions too Smooth ? Long Memory and the Deaton Paradox" The Reviews of Economics and Statistics, 1, PP.1-9.Eckmann, J. & Ruelle, D. (1985) "Ergodic Theory of Chaos and Strange Attractors", Reviews of Modern Physics, 57, pp.617-56.Eckmann, J., Kamphorst, S., Ruelle, D. & Giliberto, S. (1986) "Lyapunov Exponent for Time Series." Physical Review A, vol.34, pp.4971-9.Gabisch & Lorenz (1989) Business Cycle Theory Springer-Verlag.George, .Donald (1988) Mathematical Modelling .for Economists, Macmillan Press, London.Gershenfeld, N. (1988) "An Experimentalist`s Introduction to the Observation of DynamicalSystems" in Direction in Chaos,vol.2, ed. by Hao Bai-Lin, pp.310 - 84.Goodwin, R. (1951) "The Nonlinear Accelerator and the Persistence of Business Cycles", Econometrica , 19:1, pp.78-92.Grandmont, J.M. (1985) "On Endogenous Competitive Business Cycle" Econometrica, pp.995-1045.Grassberger, P. & Procaccia, I. (1983) "Estimation of the Kol" mogorov Entropy from a Chaotic Signal", Physical Review A,vol.28, pp.2591-3Hicks, J. (1950) A Contribution to the Theory of the Trade Cycle, Oxford: Oxford University PressHsieh, D. & LeBaron, B. (1988) "Finite Sample Properties of the BDS statistic I : Distribution under the Null Hypothesis." Gradute School of Business aand Department of Economics. The University of Chicago.Raldor, N. (1940) "A Model of the Trade Cycle" Economic Journal, 50:1, pp.78-92Liu, T., ·Granger, C. & Heller, W. (1991) "Using the Correlation Exponent to Decide if an Economic Series Is Chaotic" Discusion Paper #91-21,Dept. of Economics U. of CaliforniaLorenz, Hans - Walter (1987) "Strange Attractors in a Multisector Business Cycle Model." Journal of Economic Behavior and Organization 8, pp.397-411.Medio, A.(1991) "Continuous - time Models of Choas in Economics" Journal of Economic Behavior and Organization 16, pp.115 - 151.Nickell, S. & Wadhwani, S. (1990) "Insider Forces and Wage Determination" The Economic Journal, 100, pp.496-509.Ohno, K.(1990) "Exchange Rate Fluctuation, Pass-Through ,and Market Share" International Monetary Fund, vol. 37, No.2, pp.294-310.Ott . E. (1981) "Strange Attractors and Chaotic Motions of Dynamical Systems" , Reviews of Modern Physics 53: pp.655-71.Ruelle, O. & Takens, F. (1971) On the Nature of Turbulence, Communications in Math . Physics, 20, pp.167- 92.Scheinkman (1990) "Nonlinearity in Economic Dynamics" Economic Journal, 100, pp.33 - 48.Schuster, H. (1984) Deterministic Chaos, Physik- Verlag. Takens, F . (1981) Lecture Notes on Math. 898, Springer , Heidelberg- New York.Varian,. H. (1979) "Catastrophe Theory and Business Cycle" Economic Inquiry, pp.14 - 28.Wolf, A., Swift, J., Swinney, H. & Vastano, J . (1985) "Determining Lyapunov Exponents From A Time Series", Physica, 16D, pp.285 – 317. 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/#B2002004711 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) 莊委桐 zh_TW dc.contributor.author (Authors) ZHUANG, WEI-TONG en_US dc.creator (作者) 莊委桐 zh_TW dc.creator (作者) ZHUANG, WEI-TONG en_US dc.date (日期) 1992 en_US dc.date (日期) 1991 en_US dc.date.accessioned 2-May-2016 17:11:40 (UTC+8) - dc.date.available 2-May-2016 17:11:40 (UTC+8) - dc.date.issued (上傳時間) 2-May-2016 17:11:40 (UTC+8) - dc.identifier (Other Identifiers) B2002004711 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89871 - 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 第一章引言..........1第二章DETERMINISTIC CHAOS 基本概念之釐清..........4第2.1 節混沌的特性..........4第2.2 節分岔、劇變與磁滯..........8第三章應用範例與討論..........12第3.1 節應用範例..........12第3.2 節實證檢定之難題..........18第四章STRANGE ATTRACTOR 檢定之理論探討..........21第4.1 節三種檢定原理說明..........21第4.2 節三種檢定原理之關聯性..........27第五章實驗設計..........35（一）CORRELATION DIMENSION..........36（二）LYAPUNOV EXPONENT..........38（三）KOLMOGOROV ENTROPY..........39第六章檢定結果說明..........42（一）CORRELATION DIMENSION..........42（二）LYAPUNOV EXPONENT..........50（三）KOLMOGOROV ENTROPY..........55（四）綜合說明..........59第七章結論..........66 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004711 en_US dc.subject (關鍵詞) 檢定 zh_TW dc.subject (關鍵詞) 動態模型 zh_TW dc.title (題名) 非線型動態模型檢定與在總體經濟模型之應用 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 林和 譯(1991)混沌:不測風雲的背後，天下文化Ashley, R. and Patterson, D. (1985) " Linear Versus Nonlinear Macroeconomies: A Statistical Test." Economics Department Working Paper No.85-12-01,Virginia polytechnic Institute.Ashley, R. and Patterson, D. (1989) " Linear Versus Nonlinear Macroeconomies: A Statistical Test." International Economic Review Vol.30 ,No.3. pp.685-704.Bala, V. & Majumdar, M. (1990) "Chaos in the Discrete-Time Tatonnement Process" Working Paper #431 , Cornell University.Barnett, W. & Chen, P. (1987)"The Aggregation-theoretic Monetary Aggregates are Chaotic and have Strange Attractors" in Barnett, Berndt & White eds. Dynamic Econometric Modelling, Cambridge University Press.Barnett, W. & Choi, S. (1988) "A Comparison Between the Convensional Econometric Approach to Structural Inference and the Nonparametric Chaotic Attractor Approach." In Economic Complexity: Chaos, Sunspots, Bubbles, and Nonlinearity, Proceedings of the Fourth International Symposium in Economic Theoryand Econometrics, W. Barnett, J. Gewekw, and K. Shell, Eds. Cambridge: Cambridge Univ. Press.Brock, W., Dechert, W. & Scheinkman, J.(1987) "A Test for Independence Based on the Correlation Dimension." Department of Economics, Univ. of Wisconsin-Madison, Univ. of Houston, and Univ. of Chicago.Brock, W. & Sayers, C. (1988) "Is the Business Cycle Characterized by Deterministic Chaos", JL. of Monetary Economics, 22, pp.71-90.Brock, W. & Beak, E.(1991) "Some Theory of Statistical Inference for Nonlinear Science" Review of Economic Studies, 58, pp.697-716.Chen, P. (1988) "Empirical and Theoretical Evidence of Economic Chaos" , System Dynamics Review, Vol. 4, pp.81-108.Day, Richard (1982) "Irregular Growth Cycles" The American Economic Review, vol.72, No.3, pp.406-14.Day, R. & Lin, T. (1991) "An Adaptive Neoclassical Models of Growth Fluctuations" In Dimitri ed., Alternative Approaches to Macroeconomics , Oxford University Press.Diebold, F. & Rudebusch, G. (1991) "Is Consumptions too Smooth ? Long Memory and the Deaton Paradox" The Reviews of Economics and Statistics, 1, PP.1-9.Eckmann, J. & Ruelle, D. (1985) "Ergodic Theory of Chaos and Strange Attractors", Reviews of Modern Physics, 57, pp.617-56.Eckmann, J., Kamphorst, S., Ruelle, D. & Giliberto, S. (1986) "Lyapunov Exponent for Time Series." Physical Review A, vol.34, pp.4971-9.Gabisch & Lorenz (1989) Business Cycle Theory Springer-Verlag.George, .Donald (1988) Mathematical Modelling .for Economists, Macmillan Press, London.Gershenfeld, N. (1988) "An Experimentalist`s Introduction to the Observation of DynamicalSystems" in Direction in Chaos,vol.2, ed. by Hao Bai-Lin, pp.310 - 84.Goodwin, R. (1951) "The Nonlinear Accelerator and the Persistence of Business Cycles", Econometrica , 19:1, pp.78-92.Grandmont, J.M. (1985) "On Endogenous Competitive Business Cycle" Econometrica, pp.995-1045.Grassberger, P. & Procaccia, I. (1983) "Estimation of the Kol" mogorov Entropy from a Chaotic Signal", Physical Review A,vol.28, pp.2591-3Hicks, J. (1950) A Contribution to the Theory of the Trade Cycle, Oxford: Oxford University PressHsieh, D. & LeBaron, B. (1988) "Finite Sample Properties of the BDS statistic I : Distribution under the Null Hypothesis." Gradute School of Business aand Department of Economics. The University of Chicago.Raldor, N. (1940) "A Model of the Trade Cycle" Economic Journal, 50:1, pp.78-92Liu, T., ·Granger, C. & Heller, W. (1991) "Using the Correlation Exponent to Decide if an Economic Series Is Chaotic" Discusion Paper #91-21,Dept. of Economics U. of CaliforniaLorenz, Hans - Walter (1987) "Strange Attractors in a Multisector Business Cycle Model." Journal of Economic Behavior and Organization 8, pp.397-411.Medio, A.(1991) "Continuous - time Models of Choas in Economics" Journal of Economic Behavior and Organization 16, pp.115 - 151.Nickell, S. & Wadhwani, S. (1990) "Insider Forces and Wage Determination" The Economic Journal, 100, pp.496-509.Ohno, K.(1990) "Exchange Rate Fluctuation, Pass-Through ,and Market Share" International Monetary Fund, vol. 37, No.2, pp.294-310.Ott . E. (1981) "Strange Attractors and Chaotic Motions of Dynamical Systems" , Reviews of Modern Physics 53: pp.655-71.Ruelle, O. & Takens, F. (1971) On the Nature of Turbulence, Communications in Math . Physics, 20, pp.167- 92.Scheinkman (1990) "Nonlinearity in Economic Dynamics" Economic Journal, 100, pp.33 - 48.Schuster, H. (1984) Deterministic Chaos, Physik- Verlag. Takens, F . (1981) Lecture Notes on Math. 898, Springer , Heidelberg- New York.Varian,. H. (1979) "Catastrophe Theory and Business Cycle" Economic Inquiry, pp.14 - 28.Wolf, A., Swift, J., Swinney, H. & Vastano, J . (1985) "Determining Lyapunov Exponents From A Time Series", Physica, 16D, pp.285 – 317. zh_TW
