政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/88992

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/88992

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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 學位論文 > Item 140.119/88992

請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/88992

題名:	共積計量方法之比較研究 --- 臺灣總體經濟數列之實證分析 The comparative study of cointegration theory ---the empirical analysis in the macroeconomic series of Taiwan.
作者:	王美鈺 Wang, Mei-Yu
貢獻者:	汪義育王美鈺 Mei-Yu Wang
關鍵詞:	共積誤差修正共同趨勢共積迴歸自迴歸表現式 Cointegration Error Correction Common Trend Cointegrating Autoregressive
日期:	1993
上傳時間:	2016-04-29 16:42:48 (UTC+8)
摘要:	總體經濟或財務理論之所以發生爭端，主要癥結不在理論之優劣，而是
參考文獻:	( 一)中文部分: [1]汪義育(1989) :「總體經濟時間數列分析之方法與應用」，臺北: 華泰。 [2]梁志民(1990) :「臺灣總體經濟數列長期趨勢與短期波動關聯之研究」，國立政治大學財政研究所碩士論文。 [3]蔡麗茹(1992) :「總體數列之非但定計量方法與應用」，國立政治大學經濟學研究所博士論文。 (二)英文部分: [1] A C Harvey (1981)-` The Econometric Analysis of Time Series", The London School of Economics. [2] A C Harvey (1981)-"Time Series Models" , The London School of Economics. [3] Anderson, T. W. (1984)-" An Introduction to Mulivariate Statistical Analysis" , (New York , Wiley). [4] Beveridge, S. ,and C.R. Nelson(1981)-" A New Approach to Decomposition of Economic Time Series into Permanent and Transitory Components with Particular Attention to Measurement Of the Business Cycle" ,Journal of Monetary Economics, 7 , pp .151-174· [5] Billingsley, P.(1968)-" Convergence of Probability Measure" ,(New York ,John Wiley). [6] Dickey , David A. (1976)-" Estimation and Hypothesis Testing for Nonstationary Time Series" , Ph.D. Thesis, Iowa State University ,Ames [7] Dickey, David A., Dennis W. Jansen and Daniel L. Thornton (1991)-" A Primer On Cointegration with An Application to Money and Income" , Federal -Reserve-Bank-of-St. Louis- Review, V 73(2), pp .58-78. [8] Dickey, D. A. and W. A. Fuller (1979)-" Distribution of the Estimates for Autoregressive Time Series with a Unit Root" , Journal of the American Statistical Association, 74 , pp.4 27-4 31 . [9] Dickey, D. A. and W. A. Fuller (1981 )-" Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root " , Econometrica , 49 , pp.753-779. [10] Engle R . F. and Granger C. W. J. (1987)-" Cointegration and Error Correction : Representation , Estimation , and Testing" , Econometrica , Vol. 55 , No.2 , March pp.251-276. [11] Engle R. F. and Granger C. W. J. (1991)- " Long-Run Economic Relationship.- Readings in Cointegration " , Oxford University Press. [12] Engle R. F. and J. Hallman (1990)-" Merging short and Long-Run Forecasts: an Application of Seasonal Cointegration to Monthly Electricity Sales Forecasting" , Journal of Econometrics , 40 , pp·45-62. [13] Engle R. F. and Sam Yoo (1986)-" Forecasting and Testing in Cointegrated Systems" , UCSD Discussion Paper. [14]Engle R. F. and Sam Yoo (1987)-" Cointegrated Econoic Time Series: An Overview with New Results" , European Meeting of the Econometric Society in Copenhagen 24-8 August. [15] Engle R. F. and T. Bollerslev. (1986)-" Modelling the Persistence of Conditional Variance" Econometric Review , 5.pp.1-50. [16] Escribano , Alvaro (1987)-" Error-Correction Systems: Nonlinear Adjustments to Linear Long-Run Relationships" , CORE Discussion Paper 8730. [17] Granger C. W. J. (1981)-" Some Properties of Time Series Data and Their Use in Econometrics Model Specification " , Journal of Econometrics 16 pp.121-130. [18] Granger C. W. J. (1983)-" Cointegated Variables and Error-Correcting Models" UCSD Discussion Paper pp. 83-113. [19] Granger C. W. J. (1986)-" Developments in the Study of Cointegated Economic Variables " Oxford Bolletin of Economies and Statistics, 48:3, pp .213-228. [20] Granger C. W. J. and "Weiss (1983)-" Time Series Analysis of Error- Correcting Model , in Studies in Econometric Time Series and Multivariate Statistics (New York ) Academic Press, pp.255-278. [21] Hannan, E. J.(1970)-" Multiple Time Series"( New York) Wiley. [22] Hylleberg , S., R. f. Engle, C. W. J. Granger, and B. S. Yoo (1990) -" Seasonal Integration and Cointegartion " , Forthcoming, Journal of Economeirics,44, pp.215-238. [23] Johansen Soren (1985 )-" The Mathematical Structure of Error Correction Models" , preprint KUIMS. [24] Johansen Soren (1988)-" Statistical Analysis of Cointegartion Vectors" , Journal of Economic Dynamics and Control ,12, pp.231 -254. [25] Johansen Soren (1991)-" Estimation and Hypothesis Testing of Cointegration Vector in Gaussian Vector Autoregressive Models" , Econometrica , 59, pp.1551-1580. [26] Johansen Soren and Katarina Juselius (1990)-" Maximum likelihood Estimation and Inference on Cointegration-with Applications to the Demand for Money " , Oxford Bulletin of Economics and Statistics , 52, pp.162 -210. [27] James H. Stock and Mark W. Watson (1988)-" Testing for Common Trends " , Journal of the American Statistical Association , December, Vol. 83 ) No . 404 pp .1091-1101. [28] Phillips , A. W. (1957)-" Stabilization Policy and the Time Forms of Lagged Responses" , Economic Journal 61 ,pp .265-211. [29] Phillips , P . C. B. and S. Quliaris (1990)-" Asymptotic Properties of Residual Based Tests for Cointegration " , Econo-metrica 58, pp.165-193. [30] Pierre Perron (1990)-" Time Series Econometrics " , Lecture Notes for Econ 513 , Department of Economics, Princeton University. [31] Phillips, P. C. B. and S. Quliaris (1988)-" Testing for Cointegration Using Principal Components Mothods " , Journal of Economics Dynamics and Control , 12 , pp. 205- 230. [32] Roger Perman (1991)-" Cointegration: An Introduction to the Literature " ,Journal of Economic Studies, Vol. 18 , No.3 pp. 3-30. [33] Sargan , J. D. (1964)-" `Wages and Prices in the United Kingdom: A Study in Econometric Methodology " , Econometric Analysis for National Economic Planning , ed. [34] Sims, C. A. , J. H. Stock, and M W. ,Watson (1986)-" Inference in Linear Time Series Models with Unit Roots ,Manuscript , University of Minnesota, Frothcoming, E conometrica. [35] Sims, C. A. , J. H. Stock, and M. W. Watson (1990) Inference in Linear Time Series Models with Some Unit Roots , Econometric a, 58, pp. 11 3-144. [36] Wayne A. Fuller (1976)-" Introduction to Statistical Time Series , Iowa State University. [37] White, J. S. (1958)-" The Limiting Distribution of the Seri al Correlation Coefficient in the Explosive Case" , Annals of Mathematical Statistics, 29 , pp .11 88-1197. [38] Yoo, B. Sam (1986)-" Multi-Cointegrated Time Series and Generalized Error-Correction Models" Economics Department) University of California ) San Diego Working Paper.
描述:	碩士國立政治大學國際經營與貿易學系 80351001
資料來源:	http://thesis.lib.nccu.edu.tw/record/#B2002004153
資料類型:	thesis
顯示於類別:	[國際經營與貿易學系 ] 學位論文

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