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題名 總體經濟計量模型之設定、推論與評斷 : 臺灣總體實證研究
作者 吳祥華
貢獻者 汪義育
吳祥華
日期 1994
上傳時間 2016-05-11
摘要 本文主要目的乃在探討構建一個實證總體模型的恰當程序，內容包括結構關係設定，非恆定計量方法應用，以及模型評估技術之研議與施行，並實際提供一簡單的臺灣總體計量模型供作說明。
This dissertation studies the proper procedure to construct an empirical macroeconomic model including specification of structure relations, nonstationary econometric methods and model-evaluation techniques and provides a simple macro econometric model of Taiwan as an illustration.
參考文獻 [1] 汪義育(民國75 年) :“台灣的物價與所得波動之探討━向量自迴歸模型分析\n之結論"中國經濟學會論文集。\n[2] 汪義育(民國78 年2 月) :“總體經濟時間數列分析之方法與應用"華泰書\n局，台北。\n[3] 李政峰(民國81 年6 月) :“總體計量模型之設定、估計與分析━台灣之實証\n研究))國立政治大學國貿所碩士論文。\n[4] 林建甫(民國82 年元月) :“經濟變數的趨勢討論”，中國經濟學會1993 年年\n會論文集。\n[5] 林金龍，吳中書，劉興嘉(民國82 年9 月) :“台灣美元遠期即期匯率關係之\n探討━共整合分析之應用”，中國統計學報第31 卷第2 期， 271 - 287 頁。\n[6] 許明振，莊靜真(民國82 年元月) :“台灣貨幣政策之探討━共積分析之應用”中國經濟學會1993 年年會論文集。\n[7] 徐倩蘭(民國82 年6 月) :“台灣總體計量模型━財政及金融政策之模擬分析\n“，國立台灣大學經濟系碩士論文。\n[8] 梁志民(民國79 年7 月) :“台灣總體經濟數列長期趨勢與短期波動關聯之研\n究"國立政治大學財政研究所碩士論文。\n[9J 蔡麗如(民國77 年6 月) :“台灣總體經濟變數之因果關係檢定”，政大國貿\n所碩士論文，台北。\n[10] 蔡麗如(民國81 年8 月) :“總體數列之非恆定計量方法與應用"政大經濟\n研究所博士論文，台北。\n [11] 孫翠蘭(民國81 年6 月) :“我國貨幣政策反應函數之決定━兼論匯罩之影響"中興大學經濟研究所碩士論文。\n[12] 孫金蘭(民國80 年7 月) :“台灣貨幣需求之實證研究━共整合與誤差修正模型之應用"國立中興大學經濟研究所碩士論文。\n[13] Banerjee • A. • Lumsdaine , R.L. ` and Stock, J.H.(1990) : “Recursive\nand Sequential Tests of the Unit Root and Trend Break Hypotheses: Theory\nand International Evidence" , NBER Working Paper` No.3510.\n[14] Blanchard • O.J. ` and Kahn I C.M.(1980) : “The Solution of Linear Difference\nModels Under Rationa.l Expectations" , Econometrica` Vol.48 , No.5,\nJuly.\n[15] Christiano ` L.J .(1988)，”Searching for a Break in GNP" , NBER Working\nPaper No. 2695.\n[16] Chu ` C.S. James and White` H.(1991) : “Testing for Structure Change\nin Some Simple Time Series Model" , San Diego Dept. of Economics, Discussion\nPaper No. 91-06.\n[17] Clements ` M.P. and D.F. 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W.J. , Oxford University\nPress.\n[29] Fair ` R.C.(1974) : "An Evaluation of a Short-Run Forecasting model" ,\nInternational Economic Review` Vol.15 , No.2, June.\n[30] Fair ` R.C.(1979) : "An aAnalysis of the Accuracy of Four Macroeconometric\nModel" , Journal of Political Economy` Vol. 87 , No.4-.\n[31] Fair ` R.C.(1980) : "Estimating the Expected Predictive Accuracy of Econometric\nModels" , International Economic Review, Vol.21 , No.2, June.\n[32] Fair` R.C.(1984) : "Specification) Estimation) and Analysis of Macroeconometric\nModels" , Harvard University Press.\n[33] Fair ` R.C.(1986) : "Evaluating the Predictive Accuracy of Models" , Handbook\nof Econometrics, Vol.3 , North-Holland.\n[34] Fuller` W.A.(1976) : "Introduction to Statistical Time Series" , AIowa State\nUniversity.\n[35] Ganger C.W.J. ` and Newbold ` P.(1977) "Forecasting Economic\nTime Series" , Nelv York: Academic Press.\n(36] Godfrey` L.G.(1988) : "Misspecification Test in Econometrics" , Cambridge\nUniversity Press.\n[37] Granger ` C. 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I and Sargent I T.J .(1982) : "Instrumental Variables procedures\nfor Estimating Linear Rational Expectations Model" , Journal of Monetary\nEconomics 9 , 263 - 296.\n[40] Hansen I L.P.(1982) : "Large Sample Prqperties of Generalized Method of\nMoments Estimatorsll , Econometrica` Vol.50 , No.4 , July.\n[41] Hall, S.G.(1984) : "Practitioner`s Corner: On the Solution of High Order,\nSymmetric, Difference Equations" , Oxford Bulletiu of Economics and Statistics\n, 46 , 1.\n[42] Hall I S.G. and Henry I S.G.B.(1988) : "Macroeconomic Modeling" , Elsevier\nScience Publishing Company` New York.\n[43] Hargreaves ` C.P.(1992) : "The Relevance of Concepts of Long-Run Equilibrium\nto Macroeconomic Modelling: An Introduction" , Macroeconomic modeling\nof the Long Run Edited by Hargreaves Colin P. , Edward Elgar Publishing Limited\n, England\n[44] Hargreaves ` C.P.(1992) : "Macroeconomic Modeling of The LongRun" ,\nEdward Elgar Publishing Limited, England.\n[45] Hargraves I C.P.(1993) : "A Review of Methods of Estimating Cointegrating\nRelationship" , For Eastern Jt.1eeting of the Econometric Society.\n[46] Herrndorf • N .(1984) : "A Functional Central Linit Theorem for `Weakly Dependent\nSequences of Random Vanables" , Annal of Probability, 12 , 141 -\n153.\n [47] Hu Chun-tien(1992) : "Current Account,money,and Inflation in Taiwan during\nthe 1980`s" , Presented in the Conference on "Monetary Policy in Semi-open\nEconomics" , Seoul, November.\n[48] Johansen` S.(1988) : "Statistical Analysis of Cointegration Vectors" , Journal\nof Economic dynamics and Control, 12 , 231 - 294.\n[49] Johansen`S. ` and Juselius ` K.(1990) : "Maximum Likelihood Estimation\nand Inference on Cointegration - with Applications to the Random for\nMoney" , Oxford Bulletiin of Economics & Statistics, 52 , 2.\n[50] Johansen, S . (1991) : "Estimation and Hypothesis Testing of Cointegration\nVectors in Gaussian Vector Autoregressive Models" , Econometrica` Vol.59 ,\nNo.6, Nov. , 1551 - 1580.\n[51] Johansen`S. ` and Juselius ` K.(1992) : "Testing Structural Hypotheses\nin a multivariate Cointegration Analysis of the PPP and the UIP for UK" ,\nJournal of Econometrics , 53 , 245 - 269.\n[52] Johansen ` S.(1992) : "An 1(2) Cointegration Analysis of the Purchasing\nPower Parity Between Australia and the United States" , Edited by Colin Hargreaves`\nEdward Elgar Publishing Limited.\n[53] Johansen ` S.(1992) : "Cointegration in Partial Systems and the Efficiency of\nSingle-Equation Analysis" , Journal of Econometrics, 52 , 389 - 402.\n[54] Juselius ` K. ` and Hargreaves` C.P.(1992) : "Long-Run relations in Australian\nMonetary Data" , Macroeconomic Modelling of the Long Run , Edited\nby Hargreaves Colin P. , EDward Elgar Publishing Limited.\n [55] Kassa I K. 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(1988) : "Regression Theory for Near-Integrated Time\nSeries" , Econometrica , Vol .56 , No.5 , Septemper , 1021 - 1043.\n[67] Phillips, Peter C.B.(1991) : "Optimal Inference in Cointegrated Systems"\n, Econometrica, Vol .59 , No.2, At/arch , 283 - 306.\n[68] Phillips ` Peter C.B.(1993) : "Fully Modified Least Squares and Autoregression"\n, 1993 Far Eastern Nleeting of The Econometric Society.\n[69] Perman` Roger(1991) : "Cointegration: An Introduction to the Siterature"\n, Journal of Economic Studies, Vol.18 , No.3, 3 - 30.\n[70] Perron` P.(1988) : "Trends and Random Walks in Macroeconomic Time Series\n: Further Evidence from a New Apporach" , Journal of Economic Dynamics\nand Control, 12 , 297 - 332.\n[71] Perron ` P.(1989) : "The Great Crash 1 the Oil Price Shock 1 and the Unit\nRoot Hypothesis" , Econometrica, 57 , 1361 - 1401.\n[72] Perron` P.(1989) : "The Caculation of the Limiting Distribution of the LeastSquares\nEstimator in a Near-Integrated Model" , Econometric Theory` 5 , 241- 255.\n [73] Perron ` P.(Fall 1990) ; "Time Series Econometrics" , Lecture Notes for\nEcon. , 513 , Department of Economics, Princeton University. ·\n[74] Quandt, R.E.(1983) : "Computational Problems and Methods" , Handbook\nof Econometrics, Vol.1 , North-Holland.\n[75] Qush ` D. ` and Wooldridge ` J.M.(1988) : "A Common Error m the\nTreatment of Trending Time Series" , Massachusetts Institute of Tchnology ,\nDepartment of Economics , Working paper No.483.\n[76] Said ` S.E. ` and Dickey , D.A.(1984) : ((Testing for Unit Roots In\nARMA(p,q) Model with Unknown p and q)) , Biometrika, 71 , 599 - 607.\n[77] Schotman ` P. 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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/#G91NCCV9072012
資料類型 thesis
dc.contributor.advisor 汪義育zh_TW
dc.contributor.author (Authors) 吳祥華zh_TW
dc.creator (作者) 吳祥華zh_TW
dc.date (日期) 1994en_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) G91NCCV9072012en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=108641-
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.abstract (摘要) 本文主要目的乃在探討構建一個實證總體模型的恰當程序，內容包括結構關係設定，非恆定計量方法應用，以及模型評估技術之研議與施行，並實際提供一簡單的臺灣總體計量模型供作說明。zh_TW
dc.description.abstract (摘要) This dissertation studies the proper procedure to construct an empirical macroeconomic model including specification of structure relations, nonstationary econometric methods and model-evaluation techniques and provides a simple macro econometric model of Taiwan as an illustration.en_US
dc.description.tableofcontents 第壹章緒論 1\n一研究之緣起 1\n二研究大鋼與研究目的 2\n第貳章結構性計量模型之比較分析與台灣實例 4\n一結構性計量模型之設定與建構 5\n二模型設定法之比較研究 11\n三傳統之台灣總體計量模型 16\n四本章結論 36\n本章註解 37\n第參章台灣總體計量模型之非恆定分析與推論 40\n一總體變數之非恆定分析 40\n二共積理論與非恆定變數之共積分析 61\n三台灣總體共積計量模型 83\n四本章結論 94\n本章註解 96\n第肆章模型預測績效評估與比較動態分析 103\n一模型樣本內事前預測之績效評 103\n二模型之比較動態分析 106\n三模型樣本外事前預測之績效評估 115\n四本章結論 132\n本章註解 133\n第伍章結論與建議 134\n【附錄I】對等濃縮之美國模型與英國模型 137\n﹝附錄I註解﹞對等濃縮之美國模型與英國模型 169\n【附錄II】變數資料來源 175\n【附錄III】台灣實例單根檢定：步驟(1)～步驟(3b)結果表 179\n【附錄IV】共積VAR最適落後階次檢定 185\n【附錄V】模型I各決策變數樣本內事前測Theil-U係數表 190\n【附錄VI】模型II各決策變數樣本內事前測Theil-U係數表 191\n【附錄VII】限制VAR模型之變數因果限制檢定結果 192\n【參考文獻】 203zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G91NCCV9072012en_US
dc.title (題名) 總體經濟計量模型之設定、推論與評斷 : 臺灣總體實證研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) [1] 汪義育(民國75 年) :“台灣的物價與所得波動之探討━向量自迴歸模型分析\n之結論"中國經濟學會論文集。\n[2] 汪義育(民國78 年2 月) :“總體經濟時間數列分析之方法與應用"華泰書\n局，台北。\n[3] 李政峰(民國81 年6 月) :“總體計量模型之設定、估計與分析━台灣之實証\n研究))國立政治大學國貿所碩士論文。\n[4] 林建甫(民國82 年元月) :“經濟變數的趨勢討論”，中國經濟學會1993 年年\n會論文集。\n[5] 林金龍，吳中書，劉興嘉(民國82 年9 月) :“台灣美元遠期即期匯率關係之\n探討━共整合分析之應用”，中國統計學報第31 卷第2 期， 271 - 287 頁。\n[6] 許明振，莊靜真(民國82 年元月) :“台灣貨幣政策之探討━共積分析之應用”中國經濟學會1993 年年會論文集。\n[7] 徐倩蘭(民國82 年6 月) :“台灣總體計量模型━財政及金融政策之模擬分析\n“，國立台灣大學經濟系碩士論文。\n[8] 梁志民(民國79 年7 月) :“台灣總體經濟數列長期趨勢與短期波動關聯之研\n究"國立政治大學財政研究所碩士論文。\n[9J 蔡麗如(民國77 年6 月) :“台灣總體經濟變數之因果關係檢定”，政大國貿\n所碩士論文，台北。\n[10] 蔡麗如(民國81 年8 月) :“總體數列之非恆定計量方法與應用"政大經濟\n研究所博士論文，台北。\n [11] 孫翠蘭(民國81 年6 月) :“我國貨幣政策反應函數之決定━兼論匯罩之影響"中興大學經濟研究所碩士論文。\n[12] 孫金蘭(民國80 年7 月) :“台灣貨幣需求之實證研究━共整合與誤差修正模型之應用"國立中興大學經濟研究所碩士論文。\n[13] Banerjee • A. • Lumsdaine , R.L. ` and Stock, J.H.(1990) : “Recursive\nand Sequential Tests of the Unit Root and Trend Break Hypotheses: Theory\nand International Evidence" , NBER Working Paper` No.3510.\n[14] Blanchard • O.J. ` and Kahn I C.M.(1980) : “The Solution of Linear Difference\nModels Under Rationa.l Expectations" , Econometrica` Vol.48 , No.5,\nJuly.\n[15] Christiano ` L.J .(1988)，”Searching for a Break in GNP" , NBER Working\nPaper No. 2695.\n[16] Chu ` C.S. James and White` H.(1991) : “Testing for Structure Change\nin Some Simple Time Series Model" , San Diego Dept. of Economics, Discussion\nPaper No. 91-06.\n[17] Clements ` M.P. and D.F. 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