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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/5107


    Title: 分量迴歸的模型設定檢定
    Other Titles: A New Model Specification Test for Quantile Regression
    Authors: 林馨怡
    Date: 2005
    Issue Date: 2007-04-18 18:27:38 (UTC+8)
    Publisher: 臺北市:國立政治大學經濟學系
    Abstract: 由Koenker and Bassett (1978) 所提出的份量迴歸(quantile regression)模型是計量經 濟學中一個重要的研究議題。本計劃預計提出一個具一致性(consistent)的新檢定,此檢 定能夠同時檢定不同份量下的份量迴歸的條件動差限制式(conditional moment restrictions)。建構具一致性的條件動差檢定的一個方法是所謂的擾嚷參數法(nuisance parameter)。本計劃所提出的新檢定就是利用擾嚷參數法來檢查無窮多條(infinitely many)的份量迴歸非條件動差限制式(unconditional moment restrictions)。藉由引進Politis and Romano (1994)的部份樣本(subsampling)方法,研究者可以得到一個在實際應用上相 當簡易可行的統計量。本研究計劃並証明我所提出的新檢定在極限上具有卡方( χ 2 )分 配;我也將証明此檢定具有統計學上所需的local power 及固定檢定力(fixed power)。詳 細的數學証明將會在研究進行期間詳細地分析。此外,本計劃預計利用電腦模擬分析 來討論此檢定的小樣本性質。最後並將利用本計劃所提之新檢定來判定不同的經濟及 計量模型。
    Description: 核定金額:474000元
    Data Type: report
    Appears in Collections:[經濟學系] 國科會研究計畫

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