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題名 混合型資料下之單位根檢定研究：平均概似比統計量之建立與模擬
Panel Unit Root Test作者 邱惠玉
Chiu, Huei-Yu貢獻者 汪義育博士<br>郭炳伸博士
邱惠玉
Chiu, Huei-Yu關鍵詞 混合型資料
單位根檢定
單根檢定
非恆定
共積關係
Trace檢定
概似比統計量
LLC檢定
panel data
unit root
IPS test
nonstationary
cointegration
Trace test
likelihood ratio test
LLC test日期 1998 上傳時間 27-Apr-2016 11:12:17 (UTC+8) 摘要 自Nelson和Plosser (1982)後，研究經濟資料是否具有單位根現象，已成為近二十年來熱門且重要的課題。因 參考文獻 Bernard, A. B. and Jones, C. I. (1996) " Productivity Across Industries and Countries: Time Series Theory and Evidence." Review of Economics and Statistics, 78(1), 135-146. Coakley, J. and Fuertes, A. M. (1997) " New Panel Unit Root Tests of PPP." Economics Letters, 57(1), 17-22. Dickey, D. A. and Fuller, W. A. (1979) " Distribution of the Estimators for Autoregressive Time Series with a Unit Root." Journal of the American Statistical Association, 74, 427-431. Dickey, D. A. and Fuller, W. A. (1981) " Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root." Econometrica, 49, 1057-1072. Engle, R. F. and Granger, C. W. (1987) "Co-Integration Variables and Error Correction: Representation, Estimation, and Testing." Econometrica, 55, 251-276. Evans, R. and Karras, G. (1996) " Convergence Revisited." Journal of Monetary Economics, 37, 249-265. Fleissig, A. R. and Strauss, J. (1997) " Unit Root Tests on Real Wage Panel Data for the G7." Economics Letters, 56(2), 149-155. Fuller, W. A. (1976) Introduction to Statistical Time Series. New York: Wiley. Granger, C. W. J. (1983) " Co-Integration Variables and Error-Correction Models." Unpublished University of California, San Diego, Discussion Paper 83-13. Hamilton, J. D. (1994) Time Series Analysis. Princeton University Press. Im, K. S., Pesaran, M. H. and Shin, Y. (1995) " Testing for Unit Roots in Heterogeneous Panels." WP 9526, DAE, University of Cambridge. Johansen, S. (1988) " Statistical Analysis of Cointegration Vectors." Journal of Economic Dynamics and Control, 12, 231-254. Johansen, S. (1991) " Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models." Econometrica, 59, 1551-1580. Koopmans, T. C. and Hood, W. C. (1953) Studies in Econometric Method. New York: Wiley. Levin, A. and Lin, C. F. (1992) " Unit Root Test in Panel Data: Asymptotic and Finite Sample Properties." University of California, San Diego, Discussion Paper, 92-23. Levin, A. and Lin, C. F. (1993) " Unit Root Test in Panel Data: New results." University of California, San Diego, Discussion Paper, 93-56. MacDonald, R. (1996) " Panel Unit Root Tests and Real Exchange Rates." Economic Letters, 50, 7-11. Nelson, C. and Plosser, C. (1982) " Trends and Random Walks in Macro-economic Time Series: Some Evidence and Implications." Journal of Monetary Economics, 10, 130-162. O`Connell, P. (1998) " The Overvaluation of Purchasing Power Parity." Journal of International Money and Finance, 17, 41-50. Oh, K. Y. (1996) " Purchasing Power Parity and Unit Root Test Using Panel Data." Journal of International Money and Finance, 15(3), 405-418. Papell, D. H. (1997) " Searching for Stationary: Purchasing Power Parity Under the Current Float." Journal of International Economics, 43, 313-332. Quah, D. (1994) " Exploiting Cross-section Variation for Unit Root Inference in Dynamic Data." Economics Letters, 44, 9-19. Said, S. E. and Dickey, D. A. (1984) " Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order." Biometrika, 71, 599-607. Song, F. M. and Wu, Y. (1997) " Hysteresis in Unemployment: Evidence from 48 U.S. States." Economic Inquiry, 35(2), 235-243. Strazicich, M. C. " Are state and Provincial Governments Tax Smoothing? Evidence from Panel Data." Southern Economic Journal, 62(4), 979-988. Wu, Y. (1996) " Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data test." Journal of Money, Credit and Banking, 28(1), 54-63. 描述 碩士
國立政治大學
經濟學系
86258002資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002001623 資料類型 thesis dc.contributor.advisor 汪義育博士<br>郭炳伸博士 zh_TW dc.contributor.author (Authors) 邱惠玉 zh_TW dc.contributor.author (Authors) Chiu, Huei-Yu en_US dc.creator (作者) 邱惠玉 zh_TW dc.creator (作者) Chiu, Huei-Yu en_US dc.date (日期) 1998 en_US dc.date.accessioned 27-Apr-2016 11:12:17 (UTC+8) - dc.date.available 27-Apr-2016 11:12:17 (UTC+8) - dc.date.issued (上傳時間) 27-Apr-2016 11:12:17 (UTC+8) - dc.identifier (Other Identifiers) B2002001623 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/86199 - dc.description (描述) 碩士 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 (描述) 86258002 zh_TW dc.description.abstract (摘要) 自Nelson和Plosser (1982)後，研究經濟資料是否具有單位根現象，已成為近二十年來熱門且重要的課題。因 zh_TW dc.description.tableofcontents 第一章 前言 第二章 文獻回顧與探討 第一節 單一時間數列之單位根檢定 第二節 混合型資料之單位根檢定 第三章 新檢定方法 第一節 「共積」與「TRACE檢定」 第二節 新檢定統計量 第三節 新檢定統計量的極限分配 第四章 新檢定統計量的模擬與分析 第一節 模擬設計 第二節 模擬的分析比較 第五章 結論與未來研究方向 第一節 結論 第二節 未來研究的方向 參考文獻 附表 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002001623 en_US dc.subject (關鍵詞) 混合型資料 zh_TW dc.subject (關鍵詞) 單位根檢定 zh_TW dc.subject (關鍵詞) 單根檢定 zh_TW dc.subject (關鍵詞) 非恆定 zh_TW dc.subject (關鍵詞) 共積關係 zh_TW dc.subject (關鍵詞) Trace檢定 zh_TW dc.subject (關鍵詞) 概似比統計量 zh_TW dc.subject (關鍵詞) LLC檢定 zh_TW dc.subject (關鍵詞) panel data en_US dc.subject (關鍵詞) unit root en_US dc.subject (關鍵詞) IPS test en_US dc.subject (關鍵詞) nonstationary en_US dc.subject (關鍵詞) cointegration en_US dc.subject (關鍵詞) Trace test en_US dc.subject (關鍵詞) likelihood ratio test en_US dc.subject (關鍵詞) LLC test en_US dc.title (題名) 混合型資料下之單位根檢定研究：平均概似比統計量之建立與模擬 zh_TW dc.title (題名) Panel Unit Root Test en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Bernard, A. B. and Jones, C. I. (1996) " Productivity Across Industries and Countries: Time Series Theory and Evidence." Review of Economics and Statistics, 78(1), 135-146. Coakley, J. and Fuertes, A. M. (1997) " New Panel Unit Root Tests of PPP." Economics Letters, 57(1), 17-22. Dickey, D. A. and Fuller, W. A. (1979) " Distribution of the Estimators for Autoregressive Time Series with a Unit Root." Journal of the American Statistical Association, 74, 427-431. Dickey, D. A. and Fuller, W. A. (1981) " Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root." Econometrica, 49, 1057-1072. Engle, R. F. and Granger, C. W. (1987) "Co-Integration Variables and Error Correction: Representation, Estimation, and Testing." Econometrica, 55, 251-276. Evans, R. and Karras, G. (1996) " Convergence Revisited." Journal of Monetary Economics, 37, 249-265. Fleissig, A. R. and Strauss, J. (1997) " Unit Root Tests on Real Wage Panel Data for the G7." Economics Letters, 56(2), 149-155. Fuller, W. A. (1976) Introduction to Statistical Time Series. New York: Wiley. Granger, C. W. J. (1983) " Co-Integration Variables and Error-Correction Models." Unpublished University of California, San Diego, Discussion Paper 83-13. Hamilton, J. D. (1994) Time Series Analysis. Princeton University Press. Im, K. S., Pesaran, M. H. and Shin, Y. (1995) " Testing for Unit Roots in Heterogeneous Panels." WP 9526, DAE, University of Cambridge. Johansen, S. (1988) " Statistical Analysis of Cointegration Vectors." Journal of Economic Dynamics and Control, 12, 231-254. Johansen, S. (1991) " Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models." Econometrica, 59, 1551-1580. Koopmans, T. C. and Hood, W. C. (1953) Studies in Econometric Method. New York: Wiley. Levin, A. and Lin, C. F. (1992) " Unit Root Test in Panel Data: Asymptotic and Finite Sample Properties." University of California, San Diego, Discussion Paper, 92-23. Levin, A. and Lin, C. F. (1993) " Unit Root Test in Panel Data: New results." University of California, San Diego, Discussion Paper, 93-56. MacDonald, R. (1996) " Panel Unit Root Tests and Real Exchange Rates." Economic Letters, 50, 7-11. Nelson, C. and Plosser, C. (1982) " Trends and Random Walks in Macro-economic Time Series: Some Evidence and Implications." Journal of Monetary Economics, 10, 130-162. O`Connell, P. (1998) " The Overvaluation of Purchasing Power Parity." Journal of International Money and Finance, 17, 41-50. Oh, K. Y. (1996) " Purchasing Power Parity and Unit Root Test Using Panel Data." Journal of International Money and Finance, 15(3), 405-418. Papell, D. H. (1997) " Searching for Stationary: Purchasing Power Parity Under the Current Float." Journal of International Economics, 43, 313-332. Quah, D. (1994) " Exploiting Cross-section Variation for Unit Root Inference in Dynamic Data." Economics Letters, 44, 9-19. Said, S. E. and Dickey, D. A. (1984) " Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order." Biometrika, 71, 599-607. Song, F. M. and Wu, Y. (1997) " Hysteresis in Unemployment: Evidence from 48 U.S. States." Economic Inquiry, 35(2), 235-243. Strazicich, M. C. " Are state and Provincial Governments Tax Smoothing? Evidence from Panel Data." Southern Economic Journal, 62(4), 979-988. Wu, Y. (1996) " Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data test." Journal of Money, Credit and Banking, 28(1), 54-63. zh_TW
