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題名 總體數列之非恆定計量方法與應用
作者 蔡麗茹
貢獻者 汪義育
蔡麗茹
日期 1992
上傳時間 2016-05-11
參考文獻 一﹒中文部份
     參考文獻
     【1】汪義育(民國78年):總體經濟時間數列分析之方法與應用。台北:華泰。
     【2】梁志民(民國79年):「台灣總體經濟數列長期趨勢與短期波動關聯之研究」，國立政治大學財政研究所論文。
     【3】張淑玲(民國80年) :「總體時間數列非恆定性之研究」，國立政治大學國際貿易研究所論文。
     【4】楊浩二(民國73 年):多變量統計方法。台北:華泰。
     
     二﹒英文部份
     參考文獻
     [1] Ahtola,J.& G.C.Tiao(1984): "Parameter Inference for a
     Nearly Nonstationary First Order Autorgressive Model,"Biometrika, 71, 263-272.
     [2] Amerniya,T.(1985):Advanced Econometrics, Carnbridge, Massachusetts:
     Harvard University Press.
     [3] Anderson,T.W.(1959): "On Asyrnptotic Distributions of Estirnates
     of Parameters of Stochastic Difference Equations," Annals
     of iVIathematical Statistics, 30, 676-687.
      [4] Banerjee,A . ,R.L.Lumsdaine,& ,J .H.Stock(1990): "Recursive
     and Sequential Tests of the Unit Root & Trend Break Hypothesis:
     Theory & International Evidence," NBER Working Paper, No.3510
     [5] Bhargava,A.(1986): "On the Theory of Testing for Unit Roots
     in Observed Time Series," Review of Economic Studies, 53,369-384.
     [6] Billingsley,P.(1968): "Convergence of Probability Measures.
     New York: John Wiley."
     [7] Chan,N.H.(1988): "The Parameter Inference for Nearly Nonstationary
     Time Series," Journal of the American Statistical Association, 83, 857-862.
     [8] Chan,N.H.and C.Z.Wei(1987): "Asymptotic Inference for
     Nearly N onstationary AR( 1) Process," Annals of Statistics,15, 1050-1063.
     [9] Christiano,L.,J .(1988): "Searching for a Break In GNP,"
     NBER Working Paper No. 2695.
     [10] Chu,C.S.,James & White,H.(1991): "Testing for Structure
     Change in Some Simple Time Series Models," San Diego Dept.
     of Economics, Discussion Paper No. 91-06.
     [11] Dejong,D.N.,Nankervis,N.E.& C.H.Whiteman (1989): "Integration
     Versus Trend-Stationary in Macroeconornic Time Series,"
     , University of Iowa Dept. of Economics Working paper No. 89-31.
     [12] Dejong,D.N.and C.H.Whiteman (1990): "Unit Roots in
     Macroeconomic Time Series: A Survey 6f Classical & Bayesian
     Perspectives," University of Iowa Dept. of Economics Working
     paper No 90-16.
     [13] Dickey,D.A.and W.A.Fuller(1979): "Distribution of the Estimates
     for ,Autoregressive Time Series with a Unit Root,"Journal of the American Statistical Association, 74, 427-431.
     [14] Dickey,D.A.and W.A.Fuller(1981): "Likelihood Ratio Statistics
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     Cointegration Vectors in Gaussian Vector Artoregressive Models,"
     Econometrica, 59, 1551-1580.
     [26] Johansen,S. & K. Juselius(1990) : "Maximum Lideligood Estimation
     and Inference on Cointegration-with Applications to
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     Statistics, 52, 162-210.
     [27] Kasa,K.( 1992): "Common Stochastic TRends in International
     Stock Mardets," Journal of Monetary Economics, 29, 95-124.
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     of Linear Sto`chastic Difference Equations," Econometrica, 11,
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     [29] Newey,W.K.and K.D.West(1987): "A Simple Positive Definite,
     Heteroskedasticity and Autocorrelation Consistent Covariance
     Matrix," Econometrica, 55, 703-708.
      [30] Mcleish,D .L.( 1975): "Invariance Principles for Dependent
     Variables," Z. Wahrscheinlichkeitstheorie und Verw. Gebiete,32, 165-178.
     [31] Nabeya,S.& K.Tanaka(1990a): "A General Approach to The
     Limiting Distribution Estimators in Time Series Regression
     with Nonstable Autoregressive Errors" Econometrica, 58, 145-163.
     [32] Nabeya,S.& K.Tanaka(1990b): "Limiting power of Unit Root
     Tests in Time Series Regression," Journal of Econometrics,46, 247-271.
     [33J Nelson,C.R.and C. Ploser(1982): "Trends and Random Walks
     in Macroeconomic Time Series: Some Evidence and Implications,"
     Journal of Monetary Economics,10, 139-162.
     [34] Oksendal,B.(1985): Stochastic Differential Equations,Springer-Verlag .
     [35] Park,J.Y.and P.C.B.Phillips(1988): "Statistical Inference in
     Regressions with Integrated Processes: Part 1," Econometric Theory, 4, 468-497.
     [36] Park,J.Y.and P.C.B.Phillips(1989): "Statistical Inference in
     Regressions with Integrated Processes: Part 2," Econometric
     Theory, 5, 95-131.
     [37] Perron,P.(1988): "Trends and Random Walks in Macroeconomic
     Time Series:Further Evidence from a New Approach,"
     Journal of Economic Dynamics and Control, 12, 297-332.
      [38} Perron,P.(1989): "The Calculation of the Limiting Distribution
     of the Least Squares Estimator in a Near-integrated
     Model," Econometric Theory,5, 241-255.
     [39] Perron,P.(1989): "The Great Crash,the Oil Price Shock,and
     the Unit Root Hypothesis," EGonometrica, 57,1361-1401.
     [40] Perron,P.(1990): Time Series Econometrics, Lecture Notes for
     Econ.513 Dept. of Economics, Princeton University.
     [41] Perron,P.(1990): " Tests of Joint Hypothesis for Time Series
     Regression with a Unit Root," Advances in Econometrics,vol.8 135-160.
     [42] Phillips,P.C.B.& S.N.Durlauf(1986): "Multiple Time Series
     Regression with Integrated Processes," Review of Economic
     Studies, 53, 473-486.
     [43] Phillips,P.C.B.(1986): "Understanding Spurious Regressions
     in Econo111etrics," Journal of Econometrics, 33, 311-240.
     [44] Phillips:P.C.B.(1987a): "Tinle Series Regression with a Unit
     Root," Econometrica, 55, 277-301.
     [45] Phillips,P.C.B.(1987b): "Towards a Unified Asymptotic Theory
     for Autoregression," Biometrika, 74, 535-547.
     [46] Phillips,P.C.B.(1987c): "Asymptotic Expansions In Nonstationary
     Vector Autogressions," Econometric Theory, 3, 45-68.
     [47J Phillips,P.C.B.(1988a): "Regression Theory for Nearintegrated
     Time Series," Econometrica, 56, 1021-1043.
     [48] Phillips,P.C.B.(1988b): "Weak Convergence to the Matrix
     Stochastic Integral J EdE` ," Journal of rvIultivariate Analysis,24, 252-264.
      [49] Phillips,P.C.B.and P.Perron(1988): "Testing for a Unit Root
     in Time Series Regression," Biometrika, 75, 335-346.
     [50] Phillips,P.C.B. & S. Ouliaris(1988): "Testing for Coingegration
     Using Principal Components rvIethods, " Journal of Economics
     Dynamics and Control, 12, 205-230.
     [51] Phillips,P.C.B. & S. Ouliaris(1990): "Asymptotic Properties
     of Residual Based Tests for Cointegration," Econometrica, 58,165-193.
     [52] Phillips,P.C.B.(1991): "To Criticize the Critics: An Objective
     Bayesian Analysis of Stochastic Trends," Journal of Applied
     Econometics, 6, 333-364.
     [53] Quah,D.& J.M.Wooldriclge(1988): "A Common Error in the
     Treatnlent of Trending Time Series," Massachusetts Institute
     of Technology. Department of Economics. working paper No.483.
     [54] Said S.E.,(1991): "Unit Roots Test for Time Series Data with
     a Linear Time Trend," Journal of Econometrics., 47 ,285-303.
     [55] Said S.E.and D.A.Dickey(1984): "Testing for Unit Roots in
     ARNIA(p,q) Model with Unknown p and q," Biometrika, 71,599-607.
     [56] Schidmidt,P.(1990): "Dickey-Fuller Test with Drift," Advances
     in Econometrics, vol.8 161-200.
     [57] Schotman,P.C.& H.K.van Dijk(1991a): "A Bayesian Analysis
     of the Unit Root in Real Exchange Rates," Journal of Econometrics,
     49, 195-238.
     [58] Schotman,P.C.& H.K.van Dijk(1991b): "On Bayesian Routes
     to Unit Roots," Institute for Empirical Macroeconomics Minneapolis
     ,Disscussion Paper No 43.
     [59] Schwert, G. W. (1 987): "Effects of Model Specification on Tests
     for Unit Roots in Macroeconomic data," .Journal of Monetary
     Economics, 20, 73-103.
     [60] Schwert,G.W.(1989): "Tests for Unit Roots:A Tvlonte Carlo
     Investigation," .Journal of Business and Economic Statistics,
     7,147-160.
     [61] Shiller,R.J. & P. Perron(1985): "Testing the Random Walk
     Hypothesis: Power Versus Frequency of Observation," Economics
     Letters, 18, 381-386.
     [62] Sims,C.A.(1988): "Bayesian Skepticism on Unit Root Econometrics,"
     Journal of Economic Dynamics and Control, 12,463-474.
     [63] Sims,C.A.,J.H.Stock)and i\\lI.W.Watson(1990): "Inference in
     Linear Time Series iVlodels with Some Unit Roots," Econometrica,
     58, 113-144.
     [64] Stock,J.& M.W. Watson(1988): "Testing for Common
     Trends," Journal of the American Statistical Association, 83,1097-1107.
     [65] Stock,.J.H.(1991): "Confidence Intervals for the Largest Autoregressive
     Root in U.S.Macroeconornic Time Series," Journal
     Of Monetary Monetary Economics, 28, 435-459.
     [66] West,K.D.(1988): "Asymptotic Normality when Regressors
     have a Unit Root," Economictrica, 56, i397-1417.
     [67] White,J.S.(1958): "The Limiting Distribution of the Serial
     Correlation Coefficient in the Explosive Case," Annals of
     Mathematical Statistics, 29, 1188-1197.
     [68] White,H.(1984): Asymptotic Theory for Econometricians,
     New York:Acadernic Press.
描述 博士
國立政治大學
經濟學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#G91NCCV9052012
資料類型 thesis
dc.contributor.advisor 汪義育zh_TW
dc.contributor.author (Authors) 蔡麗茹zh_TW
dc.creator (作者) 蔡麗茹zh_TW
dc.date (日期) 1992en_US
dc.date.accessioned 2016-05-11-
dc.date.available 2016-05-11-
dc.date.issued (上傳時間) 2016-05-11-
dc.identifier (Other Identifiers) G91NCCV9052012en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/96441-
dc.description (描述) 博士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 第一章緒論．．．．．．．．．．1
     第一節研究動機．．．．．．．．．．1
     第二節研究大綱與本文貢獻．．．．．．．．．．3
     本章註解．．．．．．．．．．5
     第二章非恒定漸近理論與單根文獻回顧．．．．．．．．．．6
     第一節累績過程之迴歸漸近分配理論．．．．．．．．．．7
     第二節單變數單根模型統計推論之文獻分析．．．．．．．．．．18
     2.2.1單變數AR模型，誤差項為i.i.d之單根檢定．．．．．．．．．．18
     2.2.2單變數AR(1)模型，誤差項非為i.i.d之單根檢定．．．．．．．．．．21
     2.2.3單變數ARIMA(p.1.q);p,q為未知數的單根檢定．．．．．．．．．．23
     2.2.4虛假迴歸關係．．．．．．．．．．25
     2.2.5傳統標準分配適用於單根模型的情形．．．．．．．．．．25
     本章註解．．．．．．．．．．28
     第三章單變數單根檢定的新方法．．．．．．．．．．31
     第一節近單根理論．．．．．．．．．．31
     3.1.1近單根的漸近分配．．．．．．．．．．32
     3.1.2單根檢定的檢力函數．．．．．．．．．．36
     3.1.3近單根之漸近信賴區間．．．．．．．．．．37
     第二節單根檢定之貝氏方法．．．．．．．．．．40
     3.2.1古典單根檢定方法之缺點．．．．．．．．．．40
     3.2.2單根檢定的貝氏分析-沒有確定項的簡單AR(1)情形．．．．．．．．．．41
     3.2.3單根檢定的貝氏分析-具有確定項AR(1)的情形．．．．．．．．．．44
     第三節結構性變動下的單根檢定．．．．．．．．．．49
     3.3.1Perron結構性變動之單根檢定．．．．．．．．．．49
     3.3.2Banerjee et.al結構性變動與單根檢定．．．．．．．．．．55
     3.3.3Perron與Banerjee et.al單根檢定方法之修正．．．．．．．．．．57
     本章註解．．．．．．．．．．60
     第四章多變數之非恒定理論．．．．．．．．．．63
     第一節共積模型之基本特性．．．．．．．．．．63
     4.1.1共績過程與誤差修正模型．．．．．．．．．．63
     4.1.2共績與共同趨勢表現式．．．．．．．．．．65
     4.1.3共積變數之共變異矩陣特性．．．．．．．．．．66
     第二節共績檢定文獻回顧．．．．．．．．．．69
     4.2.1以共績迴歸殘差為基礎的檢定方法．．．．．．．．．．69
     4.2.2Stock & Watson的共同趨勢檢定．．．．．．．．．．71
     4.2.3Johansen的最大概似檢定法．．．．．．．．．．74
     第三節近共積(Near cointegrated)理論．．．．．．．．．．79
     本章註解．．．．．．．．．．84
     第五章實證研究．．．．．．．．．．86
     第一節Monte-Carlo模擬分析．．．．．．．．．．86
     511以正規化誤差建立近單根漸近信賴區間．．．．．．．．．．86
     512容許結構變動之單根統計檢定量模擬分析．．．．．．．．．．91
     第二節單變數模型之實証分析．．．．．．．．．．103
     521結構變動下的單根檢定．．．．．．．．．．103
     522無結構變動之單根檢定．．．．．．．．．．106
     523單根之貝氏檢定．．．．．．．．．．109
     524近單根信賴區間之建立．．．．．．．．．．111
     第三節共績檢定．．．．．．．．．．114
     本章註解．．．．．．．．．．119
     第六章結論與建議．．．．．．．．．．120
     (附錄一)Wiener隨機過程或Brown運動．．．．．．．．．．122
     (附錄二)泛函中央極限定理．．．．．．．．．．123
     (附錄三)第一章相關定理之証明．．．．．．．．．．126
     (附錄四)(表A5-1)近單根之實証分配表．．．．．．．．．．136
     (附錄五)實証分析變數之圖形．．．．．．．．．．140
     參考文獻．．．．．．．．．．143		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G91NCCV9052012en_US
dc.title (題名) 總體數列之非恆定計量方法與應用zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一﹒中文部份
     參考文獻
     【1】汪義育(民國78年):總體經濟時間數列分析之方法與應用。台北:華泰。
     【2】梁志民(民國79年):「台灣總體經濟數列長期趨勢與短期波動關聯之研究」，國立政治大學財政研究所論文。
     【3】張淑玲(民國80年) :「總體時間數列非恆定性之研究」，國立政治大學國際貿易研究所論文。
     【4】楊浩二(民國73 年):多變量統計方法。台北:華泰。
     
     二﹒英文部份
     參考文獻
     [1] Ahtola,J.& G.C.Tiao(1984): "Parameter Inference for a
     Nearly Nonstationary First Order Autorgressive Model,"Biometrika, 71, 263-272.
     [2] Amerniya,T.(1985):Advanced Econometrics, Carnbridge, Massachusetts:
     Harvard University Press.
     [3] Anderson,T.W.(1959): "On Asyrnptotic Distributions of Estirnates
     of Parameters of Stochastic Difference Equations," Annals
     of iVIathematical Statistics, 30, 676-687.
      [4] Banerjee,A . ,R.L.Lumsdaine,& ,J .H.Stock(1990): "Recursive
     and Sequential Tests of the Unit Root & Trend Break Hypothesis:
     Theory & International Evidence," NBER Working Paper, No.3510
     [5] Bhargava,A.(1986): "On the Theory of Testing for Unit Roots
     in Observed Time Series," Review of Economic Studies, 53,369-384.
     [6] Billingsley,P.(1968): "Convergence of Probability Measures.
     New York: John Wiley."
     [7] Chan,N.H.(1988): "The Parameter Inference for Nearly Nonstationary
     Time Series," Journal of the American Statistical Association, 83, 857-862.
     [8] Chan,N.H.and C.Z.Wei(1987): "Asymptotic Inference for
     Nearly N onstationary AR( 1) Process," Annals of Statistics,15, 1050-1063.
     [9] Christiano,L.,J .(1988): "Searching for a Break In GNP,"
     NBER Working Paper No. 2695.
     [10] Chu,C.S.,James & White,H.(1991): "Testing for Structure
     Change in Some Simple Time Series Models," San Diego Dept.
     of Economics, Discussion Paper No. 91-06.
     [11] Dejong,D.N.,Nankervis,N.E.& C.H.Whiteman (1989): "Integration
     Versus Trend-Stationary in Macroeconornic Time Series,"
     , University of Iowa Dept. of Economics Working paper No. 89-31.
     [12] Dejong,D.N.and C.H.Whiteman (1990): "Unit Roots in
     Macroeconomic Time Series: A Survey 6f Classical & Bayesian
     Perspectives," University of Iowa Dept. of Economics Working
     paper No 90-16.
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