Reference: | Andrews, Donald W.K.(1993), “Tests for parameter instability and structural change with unknown change points”, Econometrica, 61, pp.821-856. Chen S. W. and Lin J. L.(1999), “Econometric Modeling Business Cycle in Taiwan with Makov Switching Vector Autoregressions”, Working Paper, National Chengchi University Chen S. W. and Lin J. L.(2000a), “Modeling Business Cycles in Taiwan with Time Varing Markov-Switching Models”, Academic Economic Papers, 28: 1, pp.17-24. Chen S. W. and Lin J. L.(2000b), “Identifying Turning Points And Business Cycles in Taiwan:Markov Switching Factor Model Approch” , Academic Economic Papers,28 : 3, pp.289-320. Clements, Michael P., and Hans-Martin Krolzig. "Can oil shocks explain asymmetries in the US Business Cycle?." Empirical Economics 27.2 (2002): 185-204. Fong, Wai Mun, and Kim Hock See. "A Markov switching model of the conditional volatility of crude oil futures prices." Energy Economics 24.1 (2002): 71-95. Goldfeld, S.M. and R.E. Quandt (1973), “A Markov model for switching regressions,”Journal of Econometrics, 1, pp.3-16. Goldfeld, Stephen M., and Richard E. Quandt. "A Markov model for switching regressions." Journal of econometrics 1.1 (1973): 3-15. Hamilton, J. D.(1988), “Rational Expectations Econometric Analysis of Changes in Regimes: An Investigation of The Term Structure of Interest Rates,” Journal of Economic Dynamics and Control, 12, pp.385-423. Hamilton, J.D.(1989), “A New Approach to The Economic Analysis of Nonstationary 50 Time Series and The Business Cycle,” Econometrica ,57, pp.357-84. Hamilton, J.D.(1990), “Analysis of the time series subject to change in regime,” Journal of Econometrics, 45, 39-70. Hamilton, J.D.(1994), Time series analysis (Princeton University Press, Princeton. NJ). Hamilton, J.D. and R. Susmel (1994), “Autoregressive conditional heteroscedasticity and changes in regime,” Journal of Econometrics, 64, 307-333. Hamilton, J.D.(1996),”This is what Happened to the oil price-macroeconomy relationship”, Journal of Monetary Economics ,38, pp.215-220. Hamilton J. D.(1996),”Specification Testing in Markov Switching Time Series Models, Journal of Econometrics” , 70, pp.127-157. Hamilton J. D. and G.. Lin(1996), ”Stock Market Volatility and The Business Cycle”, Journal of Applied, 11, pp.573-593. Huang Chao-His(1999),”Phases and Characteristics of Taiwan Business Cycles: A Markov Switching Analysis”, Taiwan Economic Review,27,185-214. Kim, Hyune-Ju, and David Siegmund. "The likelihood ratio test for a change-point in simple linear regression." Biometrika 76.3 (1989): 409-423. Kim, Chang-Jin, and Charles R. Nelson. "Business cycle turning points, a new coincident index, and tests of duration dependence based on a dynamic factor model with regime switching." Review of Economics and Statistics 80.2 (1998): 188-201. Kim, Chang-Jin, and Charles R. Nelson. ”State-Space Models with Regime Switching”(1999) Quandt, Richard E. "The estimation of the parameters of a linear regression system obeying two separate regimes." Journal of the american statistical association 53.284 (1958): 873-880. Quandt, Richard E. "Tests of the hypothesis that a linear regression system obeys two separate regimes." Journal of the American statistical Association55.290 (1960): 324-330. Raymond, Jennie E., and Robert W. Rich. "Oil and the Macroeconomy: A Markov State-Switching Approach." Journal of Money, Credit & Banking (Ohio State University Press) 29.2 (1997). Yao, Yi-Ching. "Estimating the number of change-points via Schwarz` criterion."Statistics & Probability Letters 6.3 (1988): 181-189. Yoon, Jae Ho, and Jae Ho. "Oil and the G7 business cycle: Friedman’s Plucking Markov Switching Approach." Econometric Society 2004 Far Eastern Meetings. 2004. 林向愷、黃裕烈、管中閔(1998),「景氣循環轉折點認定與經濟成長率預測」,經濟論文叢刊,26,431-457。 林向愷、黃朝熙(1993),「台灣同時與領先指標的估計與認定:1968 ~ 1991」,經濟論文叢刊,21,123-159。 徐士勛、管中閔(2000),「九零年代台灣的景氣循環:馬可夫狀態轉換模型與紀 卜斯抽樣法的應用」,人文及社會科學集刊,13,515-540。 陳仕偉、沈中華(2003),「台灣景氣循環持續依存特性之探討」,經濟研究所台灣經濟預測與政策期刊(TSSCI),34(1),63-92。 陳仕偉(2005),「台灣景氣波動不對稱性特色之檢定」,中央研究經濟研究所,台灣預測與政策,36(1),81-102。 陳仕偉(2005),「景氣波動變異對景氣轉折點認定上影響:跨國的實證研究」,人文及社會科學集刊, 18 (1), 37-76。 黃裕烈(1996),「Markov Switching Model:台灣實質 GNP 的應用」,台大經濟系碩士論文。 蔡兆龍(2002),「如何準確地認定台灣景氣循環轉折點-馬可夫轉換模型的應用」,東海大學經濟學系碩士碩士論文。 饒秀華、林修葳、黎明淵(2001),「藉由分期MS 模型分析臺灣經濟景氣狀態」,經濟論文,29(3),297-319。 |