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題名 過濾靴帶反覆抽樣與一般動差估計式
Sieve Bootstrap Inference Based on GMM Estimators of Time Series Data
作者 劉祝安
Liu, Chu-An
貢獻者 郭炳伸<br>林信助
Kuo, Biing-Shen<br>Lin, Shinn-Juh
劉祝安
Liu, Chu-An
關鍵詞 過濾靴帶反覆抽樣法
區塊拔靴法
一般動差估計式
時間序列資料
Sieve bootstrap
block bootstrap
GMM estimators
time series data
日期 2004
上傳時間 18-Sep-2009 14:16:00 (UTC+8)
摘要 In this paper, we propose two types of sieve bootstrap, univariate and multivariate approach, for the generalized method of moments estimators of time series data. Compared with the nonparametric block bootstrap, the sieve bootstrap is in essence parametric, which helps fitting data better when researchers have prior information about the time series properties of the variables of interested. Our Monte Carlo experiments show that the performances of these two types of sieve bootstrap are comparable to the performance of the block bootstrap. Furthermore, unlike the block bootstrap, which is sensitive to the choice of block length, these two types of sieve bootstrap are less sensitive to the choice of lag length.
參考文獻 [1] Andrews, D. W. K. (2002), “The Block-Block Bootstrap: Improved Asymptotic Refinements,” Cowles Foundation Discussion Paper No. 1370, Yale University, New Haven, CT.
[2] B&uml;uhlmann, P. (1997), “Sieve Bootstrap for Time Series,” Bernoulli, 3, 123-148.
[3] B&uml;uhlmann, P. (2002), “Bootstraps for Time Series,” Statistical Science, 17, 52-72.
[4] Efron, B. (1979), “Bootstrap Methods: Another Look at the Jackknife,” Annals of Statistics, 7, 1-26.
[5] Efron, B., and R. J. Tibshirani (1993), An Introduction to the Bootstrap. (Chapman & Hall, New York).
[6] Freedman, D. A. (1984), “On Bootstrapping Two-Stage Least-Squares Estimates in Stationary Linear Models,” Annals of Statistics, 12, 827-842.
[7] Hall, P., and J. L. Horowitz (1996), “Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators,” Econometrica, 64, 891-961.
[8] Hansen, B. E. (2004), Graduate Econometrics Lecture Notes, Department of Economics, University of Wisconsin, Madison, WI.
[9] Hansen, L. P. (1982), “Large Sample Properties of Generalized Method of Moments Estimators,” Econometrica, 50, 1029-1054.
[10] H&uml;ardle, W., J. L. Horowitz, and J.-P. Kreiss (2003), “Bootstrap Methods for Time Series,” International Statistical Review, 71, 435-459.
[11] Horowitz, J. L. (2001), “The Bootstrap,” in Handbook of Econometrics, Vol. 5, ed. J. J. Heckman and E. E. Leamer. (North-Holland Publishing Co., Amsterdam).
[12] Inoue A., and M. Shintani (2001), “Bootstrapping GMM Estimators for Times Series,” accepted for publication in the Journal of Econometrics, Department of Agricultural and Resource Economics, North Carolina State University, Raleigh,
NC.
[13] Kocherlakota, N. R. (1990), “On Tests of Representative Consumer Asset Pricing Models,” Journal of Monetary Economics, 26, 285-304.
[14] K&uml;unsch, H. R. (1989), “The Jackknife and the Bootstrap for General Stationary Observations,” Annals of Statistics, 17, 1217-1241.
[15] Lahiri, S. N. (1999), “Theoretical Comparisons of the Block Bootstrap Methods,” Annals of Statistics, 27, 386-404.
[16] L&uml;utkepohl, H. (1993), Introduction to Multiple Time Series Analysis. (Springer-Verlag, New York).
[17] MacKinnon, J. G. (2002), “Bootstrap Inference in Econometrics,” Canadian Journal of Economics, 35, 615-645.
[18] Staiger, D., and J. H. Stock (1997), “Instrumental Variables Regression with Weak Instruments,” Econometrica, 65, 556-586.
[19] Stock, J. H., and J. H. Wright (2001), “GMM with Weak Identification,” Econometrica, 68, 1055-1096.
[20] Tauchen, G. (1986), “Statistical Properties of Generalized Method-of-Moments Estimators of Structure Parameters Obtained from Financial Market Data,” Journal of Business and Economic Statistics, 4, 397-425.
描述 碩士
國立政治大學
國際經營與貿易研究所
91351007
93
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0913510071
資料類型 thesis
dc.contributor.advisor 郭炳伸<br>林信助zh_TW
dc.contributor.advisor Kuo, Biing-Shen<br>Lin, Shinn-Juhen_US
dc.contributor.author (Authors) 劉祝安zh_TW
dc.contributor.author (Authors) Liu, Chu-Anen_US
dc.creator (作者) 劉祝安zh_TW
dc.creator (作者) Liu, Chu-Anen_US
dc.date (日期) 2004en_US
dc.date.accessioned 18-Sep-2009 14:16:00 (UTC+8)-
dc.date.available 18-Sep-2009 14:16:00 (UTC+8)-
dc.date.issued (上傳時間) 18-Sep-2009 14:16:00 (UTC+8)-
dc.identifier (Other Identifiers) G0913510071en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/35143-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易研究所zh_TW
dc.description (描述) 91351007zh_TW
dc.description (描述) 93zh_TW
dc.description.abstract (摘要) In this paper, we propose two types of sieve bootstrap, univariate and multivariate approach, for the generalized method of moments estimators of time series data. Compared with the nonparametric block bootstrap, the sieve bootstrap is in essence parametric, which helps fitting data better when researchers have prior information about the time series properties of the variables of interested. Our Monte Carlo experiments show that the performances of these two types of sieve bootstrap are comparable to the performance of the block bootstrap. Furthermore, unlike the block bootstrap, which is sensitive to the choice of block length, these two types of sieve bootstrap are less sensitive to the choice of lag length.en_US
dc.description.tableofcontents 1 Introduction
2 Model for the GMM Estimator
3 The Block Bootstrap
4 The Sieve Bootstrap
4.1 The AR-Sieve Bootstrap Procedure
4.2 The VAR-Sieve Bootstrap Procedure
5 Monte Carlo Experiments
6 Conclusion		zh_TW
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dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0913510071en_US
dc.subject (關鍵詞) 過濾靴帶反覆抽樣法zh_TW
dc.subject (關鍵詞) 區塊拔靴法zh_TW
dc.subject (關鍵詞) 一般動差估計式zh_TW
dc.subject (關鍵詞) 時間序列資料zh_TW
dc.subject (關鍵詞) Sieve bootstrapen_US
dc.subject (關鍵詞) block bootstrapen_US
dc.subject (關鍵詞) GMM estimatorsen_US
dc.subject (關鍵詞) time series dataen_US
dc.title (題名) 過濾靴帶反覆抽樣與一般動差估計式zh_TW
dc.title (題名) Sieve Bootstrap Inference Based on GMM Estimators of Time Series Dataen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) [1] Andrews, D. W. K. (2002), “The Block-Block Bootstrap: Improved Asymptotic Refinements,” Cowles Foundation Discussion Paper No. 1370, Yale University, New Haven, CT.zh_TW
dc.relation.reference (參考文獻) [2] B&uml;uhlmann, P. (1997), “Sieve Bootstrap for Time Series,” Bernoulli, 3, 123-148.zh_TW
dc.relation.reference (參考文獻) [3] B&uml;uhlmann, P. (2002), “Bootstraps for Time Series,” Statistical Science, 17, 52-72.zh_TW
dc.relation.reference (參考文獻) [4] Efron, B. (1979), “Bootstrap Methods: Another Look at the Jackknife,” Annals of Statistics, 7, 1-26.zh_TW
dc.relation.reference (參考文獻) [5] Efron, B., and R. J. Tibshirani (1993), An Introduction to the Bootstrap. (Chapman & Hall, New York).zh_TW
dc.relation.reference (參考文獻) [6] Freedman, D. A. (1984), “On Bootstrapping Two-Stage Least-Squares Estimates in Stationary Linear Models,” Annals of Statistics, 12, 827-842.zh_TW
dc.relation.reference (參考文獻) [7] Hall, P., and J. L. Horowitz (1996), “Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators,” Econometrica, 64, 891-961.zh_TW
dc.relation.reference (參考文獻) [8] Hansen, B. E. (2004), Graduate Econometrics Lecture Notes, Department of Economics, University of Wisconsin, Madison, WI.zh_TW
dc.relation.reference (參考文獻) [9] Hansen, L. P. (1982), “Large Sample Properties of Generalized Method of Moments Estimators,” Econometrica, 50, 1029-1054.zh_TW
dc.relation.reference (參考文獻) [10] H&uml;ardle, W., J. L. Horowitz, and J.-P. Kreiss (2003), “Bootstrap Methods for Time Series,” International Statistical Review, 71, 435-459.zh_TW
dc.relation.reference (參考文獻) [11] Horowitz, J. L. (2001), “The Bootstrap,” in Handbook of Econometrics, Vol. 5, ed. J. J. Heckman and E. E. Leamer. (North-Holland Publishing Co., Amsterdam).zh_TW
dc.relation.reference (參考文獻) [12] Inoue A., and M. Shintani (2001), “Bootstrapping GMM Estimators for Times Series,” accepted for publication in the Journal of Econometrics, Department of Agricultural and Resource Economics, North Carolina State University, Raleigh,zh_TW
dc.relation.reference (參考文獻) NC.zh_TW
dc.relation.reference (參考文獻) [13] Kocherlakota, N. R. (1990), “On Tests of Representative Consumer Asset Pricing Models,” Journal of Monetary Economics, 26, 285-304.zh_TW
dc.relation.reference (參考文獻) [14] K&uml;unsch, H. R. (1989), “The Jackknife and the Bootstrap for General Stationary Observations,” Annals of Statistics, 17, 1217-1241.zh_TW
dc.relation.reference (參考文獻) [15] Lahiri, S. N. (1999), “Theoretical Comparisons of the Block Bootstrap Methods,” Annals of Statistics, 27, 386-404.zh_TW
dc.relation.reference (參考文獻) [16] L&uml;utkepohl, H. (1993), Introduction to Multiple Time Series Analysis. (Springer-Verlag, New York).zh_TW
dc.relation.reference (參考文獻) [17] MacKinnon, J. G. (2002), “Bootstrap Inference in Econometrics,” Canadian Journal of Economics, 35, 615-645.zh_TW
dc.relation.reference (參考文獻) [18] Staiger, D., and J. H. Stock (1997), “Instrumental Variables Regression with Weak Instruments,” Econometrica, 65, 556-586.zh_TW
dc.relation.reference (參考文獻) [19] Stock, J. H., and J. H. Wright (2001), “GMM with Weak Identification,” Econometrica, 68, 1055-1096.zh_TW
dc.relation.reference (參考文獻) [20] Tauchen, G. (1986), “Statistical Properties of Generalized Method-of-Moments Estimators of Structure Parameters Obtained from Financial Market Data,” Journal of Business and Economic Statistics, 4, 397-425.zh_TW