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題名 ARIMA干預分析理論架構與實務運用-以證所稅課徵為例
作者 賴政昇
貢獻者 周文賢
賴政昇
日期 1990
1989
上傳時間 3-May-2016 14:12:51 (UTC+8)
參考文獻 參考文獻\r\n中文部份:\r\n1.工商時報社論剪輯，1988年。\r\n2.石齊平(民74)，『當代計量經濟學』，三民書局。\r\n3.朱健萍(民73)，『時間數列模型建立分析應用之研究』，政治大學統計研究所碩士論文。\r\n4.周文賢(民78)，『時間序列分析未出版之課堂講義』，政治大學統計研究所。\r\n5.周文賢(民77)，『進口關稅率降低對關稅稅收之影響──一般化動態進口函數之探討』，中國經濟學會年會論文集抽印本。\r\n6.林茂文(民75)，『時間數列分析與預測』，再版，華泰書局。\r\n7.林茂文(民70)，『平穩型時間數列模式之研究』，輔仁學誌，第十三期。\r\n8.林茂文(民71)，『介入時間數列分析法及其應用』，輔仁學誌，第十四期。\r\n9.林俊文(民63)，『貨幣供給量與上市公司股票價格』，政治大學企業管理研究所碩士論文。\r\n10.林泉源(民67)，『股票價格影響因素的實證研究』，政治大學企業管理研究所碩士論文。\r\n11.林煜宗(民77)，『現代投資學』，四版，三民書局。\r\n12.徐瑞玲(民77)，『時間數列模型建立之各種分析方法的比較與實證研究』，政治大學統計研究所碩士論文。\r\n13.孫道遠(民75)，『經濟指標與股價關係之研究』，中興大學企業管理研究所碩士論文。\r\n14.孫維鴻(民76)，『金融經濟因素與股價關係－台灣證券市場實證研究』，中興大學企業管理研究所碩士論文。\r\n15.陳明哲(民63)，『貨幣供給額與股價關係之研究』，政治大學企業管理研究所碩士論文。\r\n16.陳和順(民73)，『台灣股價變動行為之研究』，淡江大學管理研究所碩士論文。\r\n17.陳文燦(民76)，『利率變動時股票價格影響之實証研究』，政治大學企業管理研究所碩士論文。\r\n18.黃義璋(民69)，『股價變動的經濟領先指標分析-ARIMA模型分析』，交通大學管理科學研究所。\r\n19.郭建忠(民78)，『台灣地區貨幣供給與物價對股價之動態關係實證研究』，淡江大學管理科學研究所。\r\n20.劉子瑯(民76)，『台灣地區貨幣供給與股票價格關係之實證研究』，台灣大學商學研究所。\r\n21.劉鶯釧(民71)，『多元時間數列分析方法之介紹與應用』，經濟論文叢刊，第十輯。\r\n22.劉鶯釧(民72)，『論因果關係檢定－時間數刜分析方法之應用』，經濟論文叢刊，第十一輯。\r\n23.劉鶯釧(民73)，『單一方程迴歸與時間數列分析』，經濟論文叢刊，第十二輯。\r\n24.鄭鴻章(民76)，『匯率估計與預測之研究－台灣實證分析』，政治大學國際貿易研究所碩士論文。\r\n25.錢盡忠(民77)，『台灣地區匯率與股價因果關係之實證研究』，政治大學企業管理研究所碩士論文。\r\n\r\n二.英文部份:\r\n1. Abraham, B. (1987) , \"Application of Intervention Analysis to A Road Fatality Series in Ontario\", Journal of Forecasting, Vol.6, PP.211-219.\r\n2. Abraham, B. (1980) , \"Intervention Analysis and Multiple Time Series\", Biometrika, 67, 1, PP.73-78.\r\n3. Akarca, A. T. & T.V. Long (1983) , \"The 1979 Oil Price Shock and Inflation in Five Industrial Countries: An Intervention Analysis\", O. D. Anderson ed. Time Series Analysis: Theory and Practice 4. B.V. : North-Holland, PP187-192.\r\n4. Beguin, J. M. , C. Gourieroux. & A. Monfort (1980) , \"Identification of A Mixed Autoregeressive-Moving Average Process: The Corner Method\",O. D. Anderson ed. Time Series, B.V. : North-Holland, PP.423-436.\r\n5. Bhattacharyya , M. N. & A. P. Layton (1979), \"Effectiveness of Seat Belt Legislation on the Queensland Road Toll-An Australion. Case Study In Intervention Analysis\", Journal of the American Statisfical Association, 74, 367, PP.596-603.\r\n6. Bowerman, B. L. & R. T. O`Connell (1987), Time Series Forecasfing, Boston:Duxbury, 2nd ed.\r\n7. Box, G. E . P. & G. M. Jenkins (1976), Time Sweies Analysis, Forecasting and Control, 2nd ed., San Francisco: Holden-Day.\r\n8. Box. G. E. P. & D. A. Pierce. \" Distribution of Residual Autocorrelations in Autoregressive Integrated Moving Average Time Series Models\" J. A. S. A ., Vo1.65. No . 332. PP1509-1526.\r\n9. Box. G. E. P. & G. C. Tiao (1975). \"Intervention Analysis with Applications to Economic and Environmental Problems\", J. A. S. A ., Vol .70,NO.349, PP70-79.\r\n10. Campbell, D. T. & J. C. Stanley (1966). Experimental and Quasi-Experimental Designs for Research, Houghton Mifflin Co..\r\n11. Cohen. S. B. (1981), \"Application of Intervention Analysis to Product Safety Standards\", O. D. Anderson & M.R. Perryman eds., Time Series Analysis. North-Holland ., PP 97-108.\r\n12. Cryer, J. D. (1987), Time Serier Analysis, Boston Duxbury .\r\n13. Edlund, P. O. (1984), \"Identification of the Multi-input Box-Jenkins Transfer Function Model\", Journal of Forecasting, Vol.3. PP297-308.\r\n14. Glass. G. V., V. L. Willson & J. M. Gottman (1975), Design and Analysis of Time-Series Experiments, Colorado Ass.University Press.\r\n15. Granger, C. W. J. & P. Newbold (1977), Forecasting Economic Time Series N.Y.:Academic Press.\r\n16. Harvey, A. C. & J. Durbin(1986), \"The Effects of Seat Belt Legislation on British Road Casualities: A Case Study in Structural Time Series Modelling,\" Jounal of Royal Statistical Society, A,149,PP 187-227.\r\n17. Hoff. J. C. (1983), A Practical Guide to Box-Jenkins Forecasting ,Lifetime Learning Pub ..\r\n18. Hopwood, W. S. et. a1. (1984), \"Time Series Forecasting Models Involving Power Transformations\", Journal of Forecasting, Vol.3. PP57-61.\r\n19. Huth, W. L.(1982), \"Transfer Function Forecasts of Economic Activity\",O. D. Anderson & M.R. Perryman eds., Applied Time Series Analysis,North-Holland, PP 109-116.\r\n20. Jenkins, G. M.(1979), \"Practical Experiences with Modelling and Forecasting\r\nTime Series\", O. D. Anderson.ed., Forecasting, Jenkins, G. & Partners ltd, PP43-166.\r\n21. Koster, F. H. (1982), \"An Application of Transfer Function-Noise Models in the Financial Sector\", O.D . Anderson .ed., Applied Time Series Analysis,North-Holland, PP35-84.\r\n22. Lassarre, S. & S. H . Tan (1982), \" Evalvation of Safety Measures on the Frequency and Gravity of Traffic Accidents In France by Means of Intervention Analysis\", O. D. Anderson ed., Time Series Analysis:Theory and Practice I , North-Holland, PP 297-306.\r\n23. Liu. L. M. (1987). \"Sales Forecasting Using Multi-equation Transfer Function Models\". Journal of Forecasting. Vol.6. PP 223-238.\r\n24. McDowall. D. et.al.(1987). Interrupted Time Series Analysis. Sage Publications. 5th ed.\r\n25. Melard. G. (1981). \"On An Alternative Model for Intervention Anolysis\", O. D. Anderson & M. R. Perryman eds ., Time Sereis Analysis. North-Holland ,, PP 345-354.\r\n26. Nelson. C. R. (1973). Applied Time Series Analysis for Managerial Forecasting,San Francisco: Holden-Day.\r\n27. Newbold. P. & C. W. J. Granger (1974). \"Experience with Forecasting Univariate Time Series and the Combination of Forecasts\" J. R. S. S. A,137,II,PP 131-145.\r\n28. Newbold. P. (1983),ARIMA Model Building and the Time Series Analysis Approach to Forecasting\" ,Journal of Forecasting Vo1.2.PP23-35.\r\n29. Pierce. D. A. (1979). \"R2 Measures for Time Series\". J. A. S. A,Vol.74,No.368,\r\nPP 901-910.\r\n30. Revenstorf, D. et. al. (1980), \"Time Series Analysis: Clinical Application Evaluating Intervention Effects in Diaries \", O. D. Anderson ed.\", Analysis Time Series, North-Holland.\r\n31. SAS Institute Inc. (1984), SASETS User`s Guide, 5th ed. Cary.\r\n32. SAS Institute Inc. (1986), SAS System for Forecasting Time Series .Cary.\r\n33. Vandaele, W.(1983), Applied Time Series and Box-Jenkins Model, Academic press.\r\n34. Wichern, D.W. & R.H. Jones (1977), \"Assessing the Impact of Market Disturbances Using Intervention Analysis\", Management Science, Vol.24. No.3. PP 329-337.
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/#B2002005414
資料類型 thesis
dc.contributor.advisor 周文賢zh_TW
dc.contributor.author (Authors) 賴政昇zh_TW
dc.creator (作者) 賴政昇zh_TW
dc.date (日期) 1990en_US
dc.date (日期) 1989en_US
dc.date.accessioned 3-May-2016 14:12:51 (UTC+8)-
dc.date.available 3-May-2016 14:12:51 (UTC+8)-
dc.date.issued (上傳時間) 3-May-2016 14:12:51 (UTC+8)-
dc.identifier (Other Identifiers) B2002005414en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=101993-
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 目次\r\n1.緒論\r\n1.1 研究動機與目的………1\r\n1.2 研究範圍………2\r\n1.3 研究方法摘要………3\r\n1.4 章節結構………3\r\n2.文獻回顧\r\n2.1 干預分析有關文獻………5\r\n2.2 臺灣股價實證文獻………12\r\n3.ARIMA干預分析理論架構\r\n3.1 干預分析之基本概念與重要性………16\r\n3.2 分析流程………21\r\n3.3 干預分析模式之建立………28\r\n3.4 干預分析模式之辨認與估計………57\r\n3.5 干預分析模式之診斷性檢查………74\r\n4.實務運用\r\n4.1 個案背景說明………78\r\n4.2 資料來源………79\r\n4.3 實證分析步驟………81\r\n4.4 實證結果說明………103\r\n4.5 實證發現與政策建議………129\r\n5.結論\r\n5.1 研究發現………132\r\n5.2 研究限制………133\r\n5.3 後續研究方向………135\r\n註釋………137\r\n參考文獻………147\r\n電腦程式………155\r\n\r\n表次\r\n表3.3a衝擊反應函數之實例………35\r\n表3.4ar,1,b階轉移函數之角落表………71\r\n表3.4b季節性AIHA之ACF與ACF………72\r\n表3.4c EACF………72\r\n表4.3a原始序列資料………85\r\n表4.3b各平穩模式之參數λ值與差分階數………98\r\n表4.3c預白化模式………101\r\n表4.3d模式診斷性檢查結果I………101\r\n表4.3e模式診斷性檢查站果II………102\r\n表4.4a實證結果歸納………104\r\n表4.4b▽LEAD(λ)之診斷性檢查結果………112\r\n表4.4c▽WPI(λ)之診斷性檢查結果………113\r\n表4.4d▽MS(λ)之診斷性檢查結果………114\r\n表4.4e圖4.4e交互相關係數之全體X2檢定………115\r\n表4.4f圖4.4f交互相關係數之全體X2檢定………115\r\n表4.4g圖4.4g交互相關係數之全體X2檢定………115\r\n表4.4h ARIMA(1,1,1)殘差項ACF之全體X2檢定………118\r\n表4.4j ARIMA(0,1,1)殘差項ACF之全體X2檢定………118\r\n表4.4j ARIMA(1,1,0)殘差項ACF之全體X2檢定………118\r\n表4.4k模式C1之參數估計值、t檢定與相關係數檢定………119\r\n表4.4l模式之估計結果………120\r\n表4.4h股價干預分析模式實證估計結果………122\r\n\r\n圖次\r\n圖3.1a干預分析本之基本概念………18\r\n團3.2a分析流程………22\r\n圖3.2b模式選取基本準則………27\r\n圖3.3a階梯函數圖形………29\r\n圖3.3b衝擊變數函數圖形………29\r\n圖3.3c干預變數之基本衝擊類型………32\r\n圖3.3d逐漸開始且永久影響不同δ值下之衝擊類型………41\r\n圖3.3e突然開始且暫時影響不同δ值下之衝擊類型………42\r\n圖3.4a落後或領先交互相關………61\r\n圖3.4b理論之交互相關函數………69\r\n圖4.3a股價週指數之序列趨勢………89\r\n圖4.3b貨幣供給額之序列趨勢………89\r\n圖4.3c短期利率之序列趨勢………90\r\n圖4.3d匯率之序列趨勢………90\r\n圖4.3e躉售物價指數之序列趨勢………91\r\n圖4.3f領先指標之序列趨勢………91\r\n圖4.3▽(SP)之分佈………92\r\n圖4.3▽(MS)之分佈………92\r\n圖4.3i▽(RATE)之分佈………93\r\n圖4.3j▽(FX)之分佈………93\r\n圖4.3k▽(WPI)之分佈………94\r\n圖4.31▽(LEAD)之分佈………94\r\n圖4.3m SP(λ)之ACF………95\r\n圖4.3n MS(λ)之ACF………95\r\n圖4.3o RATE(λ)之ACF………96\r\n圖4.3p FX(λ)之ACF………96\r\n圖4.3q WPI(λ)之ACF………97\r\n圖4.3r LEAD(λ)之ACF………97\r\n圖4.4a模式選取準則之實證結果………105\r\n圖4.4b▽LEAD(λ)之ACF與PACF………106\r\n圖4.4c▽WPI(λ)之ACF與PACF………107\r\n圖4.4d▽MS(λ)之ACF與PACF………108\r\n圖4.4e預白化後之▽MS(λ)與▽SP(λ)之CCF………109\r\n圓4.4f預白化後之▽WPI(λ)與▽SP(λ)之CCF………110\r\n圖4.4g預白化後之▽LEAD(λ)與▽SP(λ)之CCF………111\r\n圖4.4h的殘差項之ACF與PACF………117\r\n圖4.4i干預事件介入之衝擊反應函數圖形------------128zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002005414en_US
dc.title (題名) ARIMA干預分析理論架構與實務運用-以證所稅課徵為例zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 參考文獻\r\n中文部份:\r\n1.工商時報社論剪輯，1988年。\r\n2.石齊平(民74)，『當代計量經濟學』，三民書局。\r\n3.朱健萍(民73)，『時間數列模型建立分析應用之研究』，政治大學統計研究所碩士論文。\r\n4.周文賢(民78)，『時間序列分析未出版之課堂講義』，政治大學統計研究所。\r\n5.周文賢(民77)，『進口關稅率降低對關稅稅收之影響──一般化動態進口函數之探討』，中國經濟學會年會論文集抽印本。\r\n6.林茂文(民75)，『時間數列分析與預測』，再版，華泰書局。\r\n7.林茂文(民70)，『平穩型時間數列模式之研究』，輔仁學誌，第十三期。\r\n8.林茂文(民71)，『介入時間數列分析法及其應用』，輔仁學誌，第十四期。\r\n9.林俊文(民63)，『貨幣供給量與上市公司股票價格』，政治大學企業管理研究所碩士論文。\r\n10.林泉源(民67)，『股票價格影響因素的實證研究』，政治大學企業管理研究所碩士論文。\r\n11.林煜宗(民77)，『現代投資學』，四版，三民書局。\r\n12.徐瑞玲(民77)，『時間數列模型建立之各種分析方法的比較與實證研究』，政治大學統計研究所碩士論文。\r\n13.孫道遠(民75)，『經濟指標與股價關係之研究』，中興大學企業管理研究所碩士論文。\r\n14.孫維鴻(民76)，『金融經濟因素與股價關係－台灣證券市場實證研究』，中興大學企業管理研究所碩士論文。\r\n15.陳明哲(民63)，『貨幣供給額與股價關係之研究』，政治大學企業管理研究所碩士論文。\r\n16.陳和順(民73)，『台灣股價變動行為之研究』，淡江大學管理研究所碩士論文。\r\n17.陳文燦(民76)，『利率變動時股票價格影響之實証研究』，政治大學企業管理研究所碩士論文。\r\n18.黃義璋(民69)，『股價變動的經濟領先指標分析-ARIMA模型分析』，交通大學管理科學研究所。\r\n19.郭建忠(民78)，『台灣地區貨幣供給與物價對股價之動態關係實證研究』，淡江大學管理科學研究所。\r\n20.劉子瑯(民76)，『台灣地區貨幣供給與股票價格關係之實證研究』，台灣大學商學研究所。\r\n21.劉鶯釧(民71)，『多元時間數列分析方法之介紹與應用』，經濟論文叢刊，第十輯。\r\n22.劉鶯釧(民72)，『論因果關係檢定－時間數刜分析方法之應用』，經濟論文叢刊，第十一輯。\r\n23.劉鶯釧(民73)，『單一方程迴歸與時間數列分析』，經濟論文叢刊，第十二輯。\r\n24.鄭鴻章(民76)，『匯率估計與預測之研究－台灣實證分析』，政治大學國際貿易研究所碩士論文。\r\n25.錢盡忠(民77)，『台灣地區匯率與股價因果關係之實證研究』，政治大學企業管理研究所碩士論文。\r\n\r\n二.英文部份:\r\n1. Abraham, B. (1987) , \"Application of Intervention Analysis to A Road Fatality Series in Ontario\", Journal of Forecasting, Vol.6, PP.211-219.\r\n2. Abraham, B. (1980) , \"Intervention Analysis and Multiple Time Series\", Biometrika, 67, 1, PP.73-78.\r\n3. Akarca, A. T. & T.V. Long (1983) , \"The 1979 Oil Price Shock and Inflation in Five Industrial Countries: An Intervention Analysis\", O. D. Anderson ed. Time Series Analysis: Theory and Practice 4. B.V. : North-Holland, PP187-192.\r\n4. Beguin, J. M. , C. Gourieroux. & A. Monfort (1980) , \"Identification of A Mixed Autoregeressive-Moving Average Process: The Corner Method\",O. D. Anderson ed. Time Series, B.V. : North-Holland, PP.423-436.\r\n5. Bhattacharyya , M. N. & A. P. Layton (1979), \"Effectiveness of Seat Belt Legislation on the Queensland Road Toll-An Australion. Case Study In Intervention Analysis\", Journal of the American Statisfical Association, 74, 367, PP.596-603.\r\n6. Bowerman, B. L. & R. T. O`Connell (1987), Time Series Forecasfing, Boston:Duxbury, 2nd ed.\r\n7. Box, G. E . P. & G. M. Jenkins (1976), Time Sweies Analysis, Forecasting and Control, 2nd ed., San Francisco: Holden-Day.\r\n8. Box. G. E. P. & D. A. Pierce. \" Distribution of Residual Autocorrelations in Autoregressive Integrated Moving Average Time Series Models\" J. A. S. A ., Vo1.65. No . 332. PP1509-1526.\r\n9. Box. G. E. P. & G. C. Tiao (1975). \"Intervention Analysis with Applications to Economic and Environmental Problems\", J. A. S. A ., Vol .70,NO.349, PP70-79.\r\n10. Campbell, D. T. & J. C. Stanley (1966). Experimental and Quasi-Experimental Designs for Research, Houghton Mifflin Co..\r\n11. Cohen. S. B. (1981), \"Application of Intervention Analysis to Product Safety Standards\", O. D. Anderson & M.R. Perryman eds., Time Series Analysis. North-Holland ., PP 97-108.\r\n12. Cryer, J. D. (1987), Time Serier Analysis, Boston Duxbury .\r\n13. Edlund, P. O. (1984), \"Identification of the Multi-input Box-Jenkins Transfer Function Model\", Journal of Forecasting, Vol.3. PP297-308.\r\n14. Glass. G. V., V. L. Willson & J. M. Gottman (1975), Design and Analysis of Time-Series Experiments, Colorado Ass.University Press.\r\n15. Granger, C. W. J. & P. Newbold (1977), Forecasting Economic Time Series N.Y.:Academic Press.\r\n16. Harvey, A. C. & J. Durbin(1986), \"The Effects of Seat Belt Legislation on British Road Casualities: A Case Study in Structural Time Series Modelling,\" Jounal of Royal Statistical Society, A,149,PP 187-227.\r\n17. Hoff. J. C. (1983), A Practical Guide to Box-Jenkins Forecasting ,Lifetime Learning Pub ..\r\n18. Hopwood, W. S. et. a1. (1984), \"Time Series Forecasting Models Involving Power Transformations\", Journal of Forecasting, Vol.3. PP57-61.\r\n19. Huth, W. L.(1982), \"Transfer Function Forecasts of Economic Activity\",O. D. Anderson & M.R. Perryman eds., Applied Time Series Analysis,North-Holland, PP 109-116.\r\n20. Jenkins, G. M.(1979), \"Practical Experiences with Modelling and Forecasting\r\nTime Series\", O. D. Anderson.ed., Forecasting, Jenkins, G. & Partners ltd, PP43-166.\r\n21. Koster, F. H. (1982), \"An Application of Transfer Function-Noise Models in the Financial Sector\", O.D . Anderson .ed., Applied Time Series Analysis,North-Holland, PP35-84.\r\n22. Lassarre, S. & S. H . Tan (1982), \" Evalvation of Safety Measures on the Frequency and Gravity of Traffic Accidents In France by Means of Intervention Analysis\", O. D. Anderson ed., Time Series Analysis:Theory and Practice I , North-Holland, PP 297-306.\r\n23. Liu. L. M. (1987). \"Sales Forecasting Using Multi-equation Transfer Function Models\". Journal of Forecasting. Vol.6. PP 223-238.\r\n24. McDowall. D. et.al.(1987). Interrupted Time Series Analysis. Sage Publications. 5th ed.\r\n25. Melard. G. (1981). \"On An Alternative Model for Intervention Anolysis\", O. D. Anderson & M. R. Perryman eds ., Time Sereis Analysis. North-Holland ,, PP 345-354.\r\n26. Nelson. C. R. (1973). Applied Time Series Analysis for Managerial Forecasting,San Francisco: Holden-Day.\r\n27. Newbold. P. & C. W. J. Granger (1974). \"Experience with Forecasting Univariate Time Series and the Combination of Forecasts\" J. R. S. S. A,137,II,PP 131-145.\r\n28. Newbold. P. (1983),ARIMA Model Building and the Time Series Analysis Approach to Forecasting\" ,Journal of Forecasting Vo1.2.PP23-35.\r\n29. Pierce. D. A. (1979). \"R2 Measures for Time Series\". J. A. S. A,Vol.74,No.368,\r\nPP 901-910.\r\n30. Revenstorf, D. et. al. (1980), \"Time Series Analysis: Clinical Application Evaluating Intervention Effects in Diaries \", O. D. Anderson ed.\", Analysis Time Series, North-Holland.\r\n31. SAS Institute Inc. (1984), SASETS User`s Guide, 5th ed. Cary.\r\n32. SAS Institute Inc. (1986), SAS System for Forecasting Time Series .Cary.\r\n33. Vandaele, W.(1983), Applied Time Series and Box-Jenkins Model, Academic press.\r\n34. Wichern, D.W. & R.H. Jones (1977), \"Assessing the Impact of Market Disturbances Using Intervention Analysis\", Management Science, Vol.24. No.3. PP 329-337.zh_TW