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題名 景氣循環的時間序列研究方法-台灣實證分析
作者 陳柏青
貢獻者 汪義育
陳柏青
日期 1989
上傳時間 4-May-2016 14:25:14 (UTC+8)
參考文獻 參考文獻
1.汪義育(1989):「總體經濟時間數列分析之方法與運用」.
2.Agbeyegbe, T.D. (1988), An exact discrete analog of an open linear nonstationary first-order continuous-time system with mixed sample, Journal of Econometrics, pp237-250.
3.Ahtola, J. & Tiao, G.C. (1987):Distributions of least squares estimators of autoregressive parameters for a process with complex roots on the unit circle, Journal of Time Series Analysis, ppl-14.
4.Aoki, M.(1988), On alternative state space representations of time series models, J.E.D.C., pp595-607.
5.Barsky, R. B. & Jeffrey, A. M. (1988),The seasonal cycle and the business cycle, NBER Working Paper no.2688.
6.Beveridge, S. & Nelson, C. R.(1981), A new approach to decomposition of Economic time series into permanent and transitory components with particular attention to measurement of the business cycle: J. M. E. pp151-174.
7. Bergstrom, A.R. (1983), Gaussian estimation of structural parameters in higher order continuoustime dynamic models, Econometrica, pp117-152.
8.———(1988), The history of continuous-time econometric models, Econometric Theory, pp365-383.
9. Blanchard, O.J. & Watson, M.W. (1986), Are business cycles all alikes ?, In Gordon, R. . (ed). The American Business Cycle – Conuity and Change, pp123-179.
10.Box, G.E.P. & Jenkins, G.M. (1976),Time Series Analysis – Forecasting and Control.
11.Campbell, J.Y. & Mankiw, N. G.(1987), Permanent and transitory components in macroeconomic fluctuations, A. E. R. pp111-117.
12.———&——— (1987), Are output fluctuations transitory?, Q. J. E. pp857-880.
13.———&——— (1988), International evidence on the persistence of economic fiuctuations, NBER Working Paper no.2498.
14.Chan, V. L. & Lin, K.S.(1989), The Cyclical Component of Taiwan Economic activity.
15.Clark, P. K.(1987), The cyclical component of U.S. economic activity, Q. J. E. pp797-814.
16.————(1988), Nearly redundant parameters and measures of persistence in economic time series, J. E. D. C. pp447-461.
17.————(1989), Trend reversion in real output and unemployment, Journal of conometrics, pp15-32.
18.Cochrane, J.H. (1988), How big is the random walk in GNP? J. P. E. pp893-920.
19.————& Sbordone, A. M. (1988), Multivariate estimates of the permanent of GNP and stock prices, J.E.D.C. pp255-296.
20.Dickey, D.A. & Fuller, W.A.(1979), Distrihutions of the estimators for Autoregressive time series with a unit root J.A.S.A. pp427-431.
21. ———— & ———— (1981), Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, pp1057-1072.
22.———— ; Hasza, D.P. & Fuller, W. A.(1984),Test for units In seasonal time series, J. A. S. A. pp355-367.
23.Dotsey,M. & King,R.G.(1937),Business cycle, In Eatwall,J.; Milgate,M. & Hewman,P.(eds). The New Palgrave - A Dictionary of Economics,pp302-310.
24.Engle, R. F. & Granger, C. W. J. (1987), Co-integration and error correction : representation, estimation and testing, Econometrica, pp251-176.
25.———— & Yoo, B.S. (1987), Forecasting and testing In co-integrated system, Journal of Econometrics, pp143-159.
26.Falk, B.(1986), Further evidence on the asymmetric behavior of economic time series over the business cycle, J, P. E. pp1096-1109.
27.Fuller, W.A.(1976), Introduction to Statistical Time Series.
28.Gordon, R. J. (1986), Introduction：continuity and change in theory behavior and methodology, In Gordon, R. J. (ed.) The American Business Cycle – Continuity and change, pp1-33.
29.Harvey, A.C. (l981a), The Econometric Analysis of Time Series.
30.————(1981b), Time Series Models.
31.————(1985), Trends and cycles in macroeconomic time series, Journal of Business & Economic Statistics, pp216-277.
32.————& Stock, J. H. (1988), Continuous time autoregressive models with stochastic trends, J.E.D.C. pp365-384.
33.————& Todd, P. H. J.(1983), Forecasting economic time series with structural and Box-Jenkins models: a case study, Journal of Business & Economic Statistics, pp299-315.
34.Kedem, B.(1980),Estimation of the parameters in stationary autoregressive processes after hard limiting, J. A. S. A. pp146-153.
35.Kling, R.; Plosser, C.: Stock, J. & Watson, M.(1987), Stochastic trend and economic fluctuations, NBER Working Paper no.2229.
36.Kingston, G. H. & Layton, A.P.(1986), The tax smoothing hypothesis: some Australian empirical results, Australian Economic Paper, pp247-251.
37.Koopmans, T. C. (1947), Measurement without theory, The Review of Economic and Statistics, pp161-172.
38.Lo, A.W. & Mackinlay, A. C.(1989), The size and power of the variance ratio test in finite samples, Journal of Econometrics, pp203-238.
39.Lucas, R. E. Jr. (1980), Methods and problems in business cycle theory, Journal of Money, Credit and Banking, pp696-715.
40.------,(1981), Studies in Business Cycle Theory.
41.McCallum, B, J, (1988), Real business cycle models, NBER Working Paper no.2480.
42.Moore, G. H.(1983), Business Cycle, Inflation and Forecasting .
43.Mullineux, A.W.(1984), The Business Cycle after Keynes—A Contomporary Analysis.
44.Neftci, S. N.(1982), Optimal prediction of cyclical downturns, J. E. D. C. pp225-241.
45.———— (1984), Are economic time series asymmetric over the business cycle?, J. P.E. pp307-325 .
46.———— (1985), A note on the use of local maxima to predict turning points in related series, J. A. S. A. pp553-557.
47.————(1986), Is there a cyclical time unit ?, Carnegie – Rochester Conference Series on Public Policy, pp 11-53.
48.Nelson, C. R. & Plosser, C. I.(1982), Trend and random walks in macroeconomic time series, J. M. E. pp139-162.
49.————& Kang, H. (1984), Pitfalls in the use of time as an explanatory variable in regression,Journal of Business & Economic Statistic,pp73-82.
50.————(1987), Implicit estimates of natural, trend and cyclical components of real GNP, NBER Working Paper no.2253.
51.————(1988), Spurious trend and cycle in the stste space decomposition of a time series with a unit root, J. E. D. C. pp475-488.
52.Perron, P. (1988), Trend and random walks in macroeconomic, J. E. D. C. pp297-332.
53.Phillips, P.C.B. (1974), The estimation of some continuous time models, Econometrica, pp803-823.
54. ————(1987), Time series regression with a unit root, Econometrica, pp277-301.
55. ————(1988), Regression theory for near-integrated time series, Econometrica, pp1021-1043.
56.————& Ouliars, S,(1988), Testing for cointegration using principal components methods, J, E, D, C, pp205-230.
57.Quah, D.(1988), The relative importance of permanent and transitory：identification and some theoretical bounds, M. I. T. Working Paper no.498.
58.Rotemberg, J.T.(1986) Is there a cyclical time unit? a comment, Carnegie - Rochester Conference Series on Public Policy, pp49-54.
59.Said,S.E. & Dicky, D. A. (1984), Testing for unit root in autoregressive - moving average models of unknown order, Biometrika, pp597-607.
60.————&————(1985), Hypothesis testing in ARIMA(p, 1, q) models, J.A.S.A. pp309-375.
61.Sargent, T. J.(1987), Macroeconomic Theory.
62.Salmon, M.(1988), Error correction Models cointegration and internal model principle, J. E. D. C. pp523-549.
63.Schwert, G. W. (1987), Effect of model specification on tests for unit roots in macroeconomic data, J. M. E. pp73-103.
64.Sims, C.A. (1987), Continuous and discrete time models, In Eatwell, J.; Milgate, M. & Newman, P. (eds). A Dictionary of Economics, pp626-628.
65.Stock, J. M.(1987), Measuring business cycle time, J.P.E. pp1240-1261.
66.———— (1987),Asymptotic properties of least squares estimators of cointegrating vectors, Econometrica, pp1035-1056 .
67.———— (1988), Estimating continuous- time processes subject to time deformation, J.A.S.A. pp77-85.
68.————& Watson, M.W.(1986), Testing for common trend, Harvard Institute for Economic Research Discussion Paper#1222.
69.————&———— (1988),Variable trends in economic time series, Journal of Economic Perspectives, pp147-174.
70.————&————(1988), Testing for common trends, J. A. S. A.pp1097-1107.
71.Stulz,R.M. & Wasserfallen,W.(1985)Macroeconomic time series, business cycles and macroeconomic policy, Carneige-Rochester Conference Series on Public policy, pp9-54.
72.Tiao)G.C. &Tsay,H.S.(1983);Consistency properties of least squares estimates of autoregressive parameters in AHMA models) The Annals of Statistics, pp856-871.
73.————&————(1989), Model specification in multivariate time series, Journal of the Royal Statistical society B,pp157-213.
74.Trehan, B. & Walsh, C. E. (1988), Common trends, the governments budget constraint and revenue smoothing,J.E. D.C. pp425-444.
75 .Tsay, H.S. & Tiao, G. C.(1984),Consistent estimates of autoregressive parameters and extended sample autocorrelation function for stationary and nonstationary ARMA models, J. A. S. A. pp84-96.
76.Zadrozny, P. (1988), Gaussian likelihood of continuous- time ARMAX models when data are stock and fkow at different frequencies, Econometric Theory.pp108-124.
77.Zarnowitz, V.(1985) Recent work on business cycles in historical perspective a review of theories and evidence, Journal of Economic Literature, pp523-580.
A. E. R. = American Economic Review
J.A.S.A. = Journal of the American Statistical Association
J.E.D.C. = Journal of Economic Dynamics and Control
J. M. E. = Journal of Monetary Economic
J. P. E. = Journal of Political Economy
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/#B2002005674
資料類型 thesis
dc.contributor.advisor 汪義育zh_TW
dc.contributor.author (Authors) 陳柏青zh_TW
dc.creator (作者) 陳柏青zh_TW
dc.date (日期) 1989en_US
dc.date.accessioned 4-May-2016 14:25:14 (UTC+8)-
dc.date.available 4-May-2016 14:25:14 (UTC+8)-
dc.date.issued (上傳時間) 4-May-2016 14:25:14 (UTC+8)-
dc.identifier (Other Identifiers) B2002005674en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/90512-
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 目錄
第一章 緒論………1
第一節 景氣循環之介紹………1
第二節 研究動機與目的………4
第三節 研究範圍及內容………5
第二章 序列的恒久與臨時成分………8
第一節 概說………8
第二節 單根檢定法………14
第三節 無母數之變異比率檢定………22
第四節 模型的實證研究………26
第三章 時間變形模型………40
第一節 概論………40
第二節 經濟時間的隨機過程………41
第三節 時距單位的轉換………44
第四節 循環時間的檢定方法………50
第五節 模型的實證分析………55
第四章 共累積分析………63
第一節 概述………63
第二節 Engle & Granger的共累積模式………64
第三節 共同趨勢模型………68
第四節 政府收支的共累積檢視………74
第五節 實證結果………79
第五章 結語………87
參考文獻………90
附錄 資料來源		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002005674en_US
dc.title (題名) 景氣循環的時間序列研究方法-台灣實證分析zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 參考文獻
1.汪義育(1989):「總體經濟時間數列分析之方法與運用」.
2.Agbeyegbe, T.D. (1988), An exact discrete analog of an open linear nonstationary first-order continuous-time system with mixed sample, Journal of Econometrics, pp237-250.
3.Ahtola, J. & Tiao, G.C. (1987):Distributions of least squares estimators of autoregressive parameters for a process with complex roots on the unit circle, Journal of Time Series Analysis, ppl-14.
4.Aoki, M.(1988), On alternative state space representations of time series models, J.E.D.C., pp595-607.
5.Barsky, R. B. & Jeffrey, A. M. (1988),The seasonal cycle and the business cycle, NBER Working Paper no.2688.
6.Beveridge, S. & Nelson, C. R.(1981), A new approach to decomposition of Economic time series into permanent and transitory components with particular attention to measurement of the business cycle: J. M. E. pp151-174.
7. Bergstrom, A.R. (1983), Gaussian estimation of structural parameters in higher order continuoustime dynamic models, Econometrica, pp117-152.
8.———(1988), The history of continuous-time econometric models, Econometric Theory, pp365-383.
9. Blanchard, O.J. & Watson, M.W. (1986), Are business cycles all alikes ?, In Gordon, R. . (ed). The American Business Cycle – Conuity and Change, pp123-179.
10.Box, G.E.P. & Jenkins, G.M. (1976),Time Series Analysis – Forecasting and Control.
11.Campbell, J.Y. & Mankiw, N. G.(1987), Permanent and transitory components in macroeconomic fluctuations, A. E. R. pp111-117.
12.———&——— (1987), Are output fluctuations transitory?, Q. J. E. pp857-880.
13.———&——— (1988), International evidence on the persistence of economic fiuctuations, NBER Working Paper no.2498.
14.Chan, V. L. & Lin, K.S.(1989), The Cyclical Component of Taiwan Economic activity.
15.Clark, P. K.(1987), The cyclical component of U.S. economic activity, Q. J. E. pp797-814.
16.————(1988), Nearly redundant parameters and measures of persistence in economic time series, J. E. D. C. pp447-461.
17.————(1989), Trend reversion in real output and unemployment, Journal of conometrics, pp15-32.
18.Cochrane, J.H. (1988), How big is the random walk in GNP? J. P. E. pp893-920.
19.————& Sbordone, A. M. (1988), Multivariate estimates of the permanent of GNP and stock prices, J.E.D.C. pp255-296.
20.Dickey, D.A. & Fuller, W.A.(1979), Distrihutions of the estimators for Autoregressive time series with a unit root J.A.S.A. pp427-431.
21. ———— & ———— (1981), Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, pp1057-1072.
22.———— ; Hasza, D.P. & Fuller, W. A.(1984),Test for units In seasonal time series, J. A. S. A. pp355-367.
23.Dotsey,M. & King,R.G.(1937),Business cycle, In Eatwall,J.; Milgate,M. & Hewman,P.(eds). The New Palgrave - A Dictionary of Economics,pp302-310.
24.Engle, R. F. & Granger, C. W. J. (1987), Co-integration and error correction : representation, estimation and testing, Econometrica, pp251-176.
25.———— & Yoo, B.S. (1987), Forecasting and testing In co-integrated system, Journal of Econometrics, pp143-159.
26.Falk, B.(1986), Further evidence on the asymmetric behavior of economic time series over the business cycle, J, P. E. pp1096-1109.
27.Fuller, W.A.(1976), Introduction to Statistical Time Series.
28.Gordon, R. J. (1986), Introduction：continuity and change in theory behavior and methodology, In Gordon, R. J. (ed.) The American Business Cycle – Continuity and change, pp1-33.
29.Harvey, A.C. (l981a), The Econometric Analysis of Time Series.
30.————(1981b), Time Series Models.
31.————(1985), Trends and cycles in macroeconomic time series, Journal of Business & Economic Statistics, pp216-277.
32.————& Stock, J. H. (1988), Continuous time autoregressive models with stochastic trends, J.E.D.C. pp365-384.
33.————& Todd, P. H. J.(1983), Forecasting economic time series with structural and Box-Jenkins models: a case study, Journal of Business & Economic Statistics, pp299-315.
34.Kedem, B.(1980),Estimation of the parameters in stationary autoregressive processes after hard limiting, J. A. S. A. pp146-153.
35.Kling, R.; Plosser, C.: Stock, J. & Watson, M.(1987), Stochastic trend and economic fluctuations, NBER Working Paper no.2229.
36.Kingston, G. H. & Layton, A.P.(1986), The tax smoothing hypothesis: some Australian empirical results, Australian Economic Paper, pp247-251.
37.Koopmans, T. C. (1947), Measurement without theory, The Review of Economic and Statistics, pp161-172.
38.Lo, A.W. & Mackinlay, A. C.(1989), The size and power of the variance ratio test in finite samples, Journal of Econometrics, pp203-238.
39.Lucas, R. E. Jr. (1980), Methods and problems in business cycle theory, Journal of Money, Credit and Banking, pp696-715.
40.------,(1981), Studies in Business Cycle Theory.
41.McCallum, B, J, (1988), Real business cycle models, NBER Working Paper no.2480.
42.Moore, G. H.(1983), Business Cycle, Inflation and Forecasting .
43.Mullineux, A.W.(1984), The Business Cycle after Keynes—A Contomporary Analysis.
44.Neftci, S. N.(1982), Optimal prediction of cyclical downturns, J. E. D. C. pp225-241.
45.———— (1984), Are economic time series asymmetric over the business cycle?, J. P.E. pp307-325 .
46.———— (1985), A note on the use of local maxima to predict turning points in related series, J. A. S. A. pp553-557.
47.————(1986), Is there a cyclical time unit ?, Carnegie – Rochester Conference Series on Public Policy, pp 11-53.
48.Nelson, C. R. & Plosser, C. I.(1982), Trend and random walks in macroeconomic time series, J. M. E. pp139-162.
49.————& Kang, H. (1984), Pitfalls in the use of time as an explanatory variable in regression,Journal of Business & Economic Statistic,pp73-82.
50.————(1987), Implicit estimates of natural, trend and cyclical components of real GNP, NBER Working Paper no.2253.
51.————(1988), Spurious trend and cycle in the stste space decomposition of a time series with a unit root, J. E. D. C. pp475-488.
52.Perron, P. (1988), Trend and random walks in macroeconomic, J. E. D. C. pp297-332.
53.Phillips, P.C.B. (1974), The estimation of some continuous time models, Econometrica, pp803-823.
54. ————(1987), Time series regression with a unit root, Econometrica, pp277-301.
55. ————(1988), Regression theory for near-integrated time series, Econometrica, pp1021-1043.
56.————& Ouliars, S,(1988), Testing for cointegration using principal components methods, J, E, D, C, pp205-230.
57.Quah, D.(1988), The relative importance of permanent and transitory：identification and some theoretical bounds, M. I. T. Working Paper no.498.
58.Rotemberg, J.T.(1986) Is there a cyclical time unit? a comment, Carnegie - Rochester Conference Series on Public Policy, pp49-54.
59.Said,S.E. & Dicky, D. A. (1984), Testing for unit root in autoregressive - moving average models of unknown order, Biometrika, pp597-607.
60.————&————(1985), Hypothesis testing in ARIMA(p, 1, q) models, J.A.S.A. pp309-375.
61.Sargent, T. J.(1987), Macroeconomic Theory.
62.Salmon, M.(1988), Error correction Models cointegration and internal model principle, J. E. D. C. pp523-549.
63.Schwert, G. W. (1987), Effect of model specification on tests for unit roots in macroeconomic data, J. M. E. pp73-103.
64.Sims, C.A. (1987), Continuous and discrete time models, In Eatwell, J.; Milgate, M. & Newman, P. (eds). A Dictionary of Economics, pp626-628.
65.Stock, J. M.(1987), Measuring business cycle time, J.P.E. pp1240-1261.
66.———— (1987),Asymptotic properties of least squares estimators of cointegrating vectors, Econometrica, pp1035-1056 .
67.———— (1988), Estimating continuous- time processes subject to time deformation, J.A.S.A. pp77-85.
68.————& Watson, M.W.(1986), Testing for common trend, Harvard Institute for Economic Research Discussion Paper#1222.
69.————&———— (1988),Variable trends in economic time series, Journal of Economic Perspectives, pp147-174.
70.————&————(1988), Testing for common trends, J. A. S. A.pp1097-1107.
71.Stulz,R.M. & Wasserfallen,W.(1985)Macroeconomic time series, business cycles and macroeconomic policy, Carneige-Rochester Conference Series on Public policy, pp9-54.
72.Tiao)G.C. &Tsay,H.S.(1983);Consistency properties of least squares estimates of autoregressive parameters in AHMA models) The Annals of Statistics, pp856-871.
73.————&————(1989), Model specification in multivariate time series, Journal of the Royal Statistical society B,pp157-213.
74.Trehan, B. & Walsh, C. E. (1988), Common trends, the governments budget constraint and revenue smoothing,J.E. D.C. pp425-444.
75 .Tsay, H.S. & Tiao, G. C.(1984),Consistent estimates of autoregressive parameters and extended sample autocorrelation function for stationary and nonstationary ARMA models, J. A. S. A. pp84-96.
76.Zadrozny, P. (1988), Gaussian likelihood of continuous- time ARMAX models when data are stock and fkow at different frequencies, Econometric Theory.pp108-124.
77.Zarnowitz, V.(1985) Recent work on business cycles in historical perspective a review of theories and evidence, Journal of Economic Literature, pp523-580.
A. E. R. = American Economic Review
J.A.S.A. = Journal of the American Statistical Association
J.E.D.C. = Journal of Economic Dynamics and Control
J. M. E. = Journal of Monetary Economic
J. P. E. = Journal of Political Economy		zh_TW