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題名 近單根模型之最小平方估計量的預測誤差
Mean-squared prediction errors of the least squares predictors in near-integrated models作者 張凱君
Chang, Kai-Jiun貢獻者 郭炳伸
張凱君
Chang, Kai-Jiun關鍵詞 近單根模型
方均預測誤差
near-integrated models
mean-squared prediction errors日期 2001 上傳時間 18-Apr-2016 16:24:13 (UTC+8) 摘要 The asymptotic expression for the mean-squared prediction error is discussed for the near-unit-root models. We find the mean-squared prediction error based on the ordinary least square estimator is smaller than the one using pretest estimating under some certain conditions. 參考文獻 [Chan & Wei (1987)] Chan, N.H. and Wei, C.Z. (1987), Asymptotic inference fonearly nonstationary AR(1) processes, Ann. of Statist. 15, 1050-1063. [Dickey & Fuller (1979)] Dickey, D.A. and Fuller, W.A. (1979), Distribution of the estimators for autoregressive time series with a unit root, J. Am. Statist. Assoc. 74, 427-431. [Dickey & Fuller (1981)] Dickey, D.A. and Fuller, W.A. (1981), Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica 49, 1057-1072. [Diebold & Kilian (2000)] Diebold, F.X. and Kilian, L. (2000), Unit-root tests are useful for selecting forecasting models, J. Bus. Econ. Statist. 18, 265-273. [Fuller (1976)] Fuller, W.A. (1976), Introduction to Statistical Time Series, New York: Wiley. [Ing (2000)] Ing, C.K. (2000), A note on mean-squared prediction errors of the least squares predictors in random walk models, J. Time Series Anal., forthcoming. [Lai & Wei (1983)] Lai, T.Z. and Wei, C.Z. (1983), Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates, J. Multivariate Anal. 13, 1-23. [Phillips (1987a)] Phillips, P.C.B. (1987a), Times series regression with a unit root, Econometrica 55, 277-302. [Phillips (1987b)] Phillips, P.C.B. (1987b), Towards a unified asymptotic theory of autoregression, Biometrika 74, 535-547. [Phillips (1988)] Phillips, P.C.B. (1988), Regression theory for near-integrated time series, Econometrica 56, 1021-1043. [Wei (1987)] Wei, C.Z. (1987), Adaptive prediction by the least squares predictors in stochastic regression models with application to time series, Ann. Statist. 15, 1667-1682. 描述 碩士
國立政治大學
國際經營與貿易學系
88351027資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001508 資料類型 thesis dc.contributor.advisor 郭炳伸 zh_TW dc.contributor.author (Authors) 張凱君 zh_TW dc.contributor.author (Authors) Chang, Kai-Jiun en_US dc.creator (作者) 張凱君 zh_TW dc.creator (作者) Chang, Kai-Jiun en_US dc.date (日期) 2001 en_US dc.date.accessioned 18-Apr-2016 16:24:13 (UTC+8) - dc.date.available 18-Apr-2016 16:24:13 (UTC+8) - dc.date.issued (上傳時間) 18-Apr-2016 16:24:13 (UTC+8) - dc.identifier (Other Identifiers) A2002001508 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85296 - 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 (描述) 88351027 zh_TW dc.description.abstract (摘要) The asymptotic expression for the mean-squared prediction error is discussed for the near-unit-root models. We find the mean-squared prediction error based on the ordinary least square estimator is smaller than the one using pretest estimating under some certain conditions. en_US dc.description.tableofcontents 封面頁 證明書 致謝詞 論文摘要 目錄 1 Introduction 2 Asymptotic Properties of the MSPE 3 Comparison of MSPE between OLS and Pretest Predictors 4 Conclusion 5 Appendix Bibliography zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001508 en_US dc.subject (關鍵詞) 近單根模型 zh_TW dc.subject (關鍵詞) 方均預測誤差 zh_TW dc.subject (關鍵詞) near-integrated models en_US dc.subject (關鍵詞) mean-squared prediction errors en_US dc.title (題名) 近單根模型之最小平方估計量的預測誤差 zh_TW dc.title (題名) Mean-squared prediction errors of the least squares predictors in near-integrated models en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) [Chan & Wei (1987)] Chan, N.H. and Wei, C.Z. (1987), Asymptotic inference fonearly nonstationary AR(1) processes, Ann. of Statist. 15, 1050-1063. [Dickey & Fuller (1979)] Dickey, D.A. and Fuller, W.A. (1979), Distribution of the estimators for autoregressive time series with a unit root, J. Am. Statist. Assoc. 74, 427-431. [Dickey & Fuller (1981)] Dickey, D.A. and Fuller, W.A. (1981), Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica 49, 1057-1072. [Diebold & Kilian (2000)] Diebold, F.X. and Kilian, L. (2000), Unit-root tests are useful for selecting forecasting models, J. Bus. Econ. Statist. 18, 265-273. [Fuller (1976)] Fuller, W.A. (1976), Introduction to Statistical Time Series, New York: Wiley. [Ing (2000)] Ing, C.K. (2000), A note on mean-squared prediction errors of the least squares predictors in random walk models, J. Time Series Anal., forthcoming. [Lai & Wei (1983)] Lai, T.Z. and Wei, C.Z. (1983), Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates, J. Multivariate Anal. 13, 1-23. [Phillips (1987a)] Phillips, P.C.B. (1987a), Times series regression with a unit root, Econometrica 55, 277-302. [Phillips (1987b)] Phillips, P.C.B. (1987b), Towards a unified asymptotic theory of autoregression, Biometrika 74, 535-547. [Phillips (1988)] Phillips, P.C.B. (1988), Regression theory for near-integrated time series, Econometrica 56, 1021-1043. [Wei (1987)] Wei, C.Z. (1987), Adaptive prediction by the least squares predictors in stochastic regression models with application to time series, Ann. Statist. 15, 1667-1682. zh_TW
