政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/86199

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/86199

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政大典藏 > College of Social Science > Department of Economics > Theses > Item 140.119/86199

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/86199

Title:	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
Authors:	邱惠玉 Chiu, Huei-Yu
Contributors:	汪義育博士郭炳伸博士邱惠玉 Chiu, Huei-Yu
Keywords:	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
Date:	1998
Issue Date:	2016-04-27 11:12:17 (UTC+8)
Abstract:	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
Reference:	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 Unpublished University of California, San Diego, Discussion Paper 83-13.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.
Description:	碩士國立政治大學經濟學系 86258002
Source URI:	http://thesis.lib.nccu.edu.tw/record/#B2002001623
Data Type:	thesis
Appears in Collections:	[Department of Economics] Theses

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