English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 114205/145239 (79%)
Visitors : 52616996      Online Users : 395
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/96441


    Title: 總體數列之非恆定計量方法與應用
    Authors: 蔡麗茹
    Contributors: 汪義育
    蔡麗茹
    Date: 1992
    Issue Date: 2016-05-11
    Reference: 一﹒中文部份
    參考文獻
    【1】汪義育(民國78年):總體經濟時間數列分析之方法與應用。台北:華泰。
    【2】梁志民(民國79年):「台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論文。
    【3】張淑玲(民國80年) :「總體時間數列非恆定性之研究」,國立政治大學國際貿易研究所論文。
    【4】楊浩二(民國73 年):多變量統計方法。台北:華泰。

    二﹒英文部份
    參考文獻
    [1] Ahtola,J.& G.C.Tiao(1984): "Parameter Inference for a
    Nearly Nonstationary First Order Autorgressive Model,"Biometrika, 71, 263-272.
    [2] Amerniya,T.(1985):Advanced Econometrics, Carnbridge, Massachusetts:
    Harvard University Press.
    [3] Anderson,T.W.(1959): "On Asyrnptotic Distributions of Estirnates
    of Parameters of Stochastic Difference Equations," Annals
    of iVIathematical Statistics, 30, 676-687.
    [4] Banerjee,A . ,R.L.Lumsdaine,& ,J .H.Stock(1990): "Recursive
    and Sequential Tests of the Unit Root & Trend Break Hypothesis:
    Theory & International Evidence," NBER Working Paper, No.3510
    [5] Bhargava,A.(1986): "On the Theory of Testing for Unit Roots
    in Observed Time Series," Review of Economic Studies, 53,369-384.
    [6] Billingsley,P.(1968): "Convergence of Probability Measures.
    New York: John Wiley."
    [7] Chan,N.H.(1988): "The Parameter Inference for Nearly Nonstationary
    Time Series," Journal of the American Statistical Association, 83, 857-862.
    [8] Chan,N.H.and C.Z.Wei(1987): "Asymptotic Inference for
    Nearly N onstationary AR( 1) Process," Annals of Statistics,15, 1050-1063.
    [9] Christiano,L.,J .(1988): "Searching for a Break In GNP,"
    NBER Working Paper No. 2695.
    [10] Chu,C.S.,James & White,H.(1991): "Testing for Structure
    Change in Some Simple Time Series Models," San Diego Dept.
    of Economics, Discussion Paper No. 91-06.
    [11] Dejong,D.N.,Nankervis,N.E.& C.H.Whiteman (1989): "Integration
    Versus Trend-Stationary in Macroeconornic Time Series,"
    , University of Iowa Dept. of Economics Working paper No. 89-31.
    [12] Dejong,D.N.and C.H.Whiteman (1990): "Unit Roots in
    Macroeconomic Time Series: A Survey 6f Classical & Bayesian
    Perspectives," University of Iowa Dept. of Economics Working
    paper No 90-16.
    [13] 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, 427-431.
    [14] Dickey,D.A.and W.A.Fuller(1981): "Likelihood Ratio Statistics
    for Autoregressive Time Series with a Unit Root," Econometrica,49, 753-779.
    [15] Engle,R.F.& C.W.J.Granger(1987): "Cointegration and Error
    Correction: , Representation,Estimation and Testing," Econometrica,55, 251-276.
    [16] Evans.G.B.A.& N.E.Savin(1981): "Testing for Unit Roots:l,"
    Econometrica, 49, 753-779.
    [17] Evans.G.B.A.& N.E.Savin(1984): "Testing for Unit Roots:2,"
    Econometrica,52, 1241-1269.
    [18] Fuller W.A.(1976): Introduction to Statistical Time Series.
    New York:John Wiley.
    [19J Granger,C.W.J.& P.Newbold(1974): "Spurious Regression in
    Econometrics," Journal of Econometrics, 2, 111-120.
    [20] Granger,C.W.J.& P.Newbold(1977): , Forecasting Economic
    Time Series, New York:Academic Press.
    [21] Granger,C.W.J.(1981): "Some Properties of Time Series Data
    & Their Use in Econometric Model Specification," Journal of
    Econometrics, 121-130.
    [22] Herrndorf,N.(1984): "A Functional Central Limit Theorem for
    Weakly Dependent Seqnences of Random Variables," Annals of
    Probability, 12, 141-153.
    [23] Hasza.D.P.& .A.W.Fuller(1979): "Estimation of Autoregressive
    Processes with Unit Roots·," Annals of Statistics, 7, 1106-1120.
    [24] Johansen,S.( 1988): "Statistical Analysis of Cointegration Vectors,"
    Journal of Economic Dynamics and Control, 12, 231-294.
    [25] Johansen,S.(1991): "Esitimation and Hypothesis Testing of
    Cointegration Vectors in Gaussian Vector Artoregressive Models,"
    Econometrica, 59, 1551-1580.
    [26] Johansen,S. & K. Juselius(1990) : "Maximum Lideligood Estimation
    and Inference on Cointegration-with Applications to
    the Demand for Money," Oxford Bulletin of Economics and
    Statistics, 52, 162-210.
    [27] Kasa,K.( 1992): "Common Stochastic TRends in International
    Stock Mardets," Journal of Monetary Economics, 29, 95-124.
    [28] Mann,H.B.and A.Wald(1943): "On the Statistical Treatment
    of Linear Sto`chastic Difference Equations," Econometrica, 11,
    173:-220.
    [29] Newey,W.K.and K.D.West(1987): "A Simple Positive Definite,
    Heteroskedasticity and Autocorrelation Consistent Covariance
    Matrix," Econometrica, 55, 703-708.
    [30] Mcleish,D .L.( 1975): "Invariance Principles for Dependent
    Variables," Z. Wahrscheinlichkeitstheorie und Verw. Gebiete,32, 165-178.
    [31] Nabeya,S.& K.Tanaka(1990a): "A General Approach to The
    Limiting Distribution Estimators in Time Series Regression
    with Nonstable Autoregressive Errors" Econometrica, 58, 145-163.
    [32] Nabeya,S.& K.Tanaka(1990b): "Limiting power of Unit Root
    Tests in Time Series Regression," Journal of Econometrics,46, 247-271.
    [33J Nelson,C.R.and C. Ploser(1982): "Trends and Random Walks
    in Macroeconomic Time Series: Some Evidence and Implications,"
    Journal of Monetary Economics,10, 139-162.
    [34] Oksendal,B.(1985): Stochastic Differential Equations,Springer-Verlag .
    [35] Park,J.Y.and P.C.B.Phillips(1988): "Statistical Inference in
    Regressions with Integrated Processes: Part 1," Econometric Theory, 4, 468-497.
    [36] Park,J.Y.and P.C.B.Phillips(1989): "Statistical Inference in
    Regressions with Integrated Processes: Part 2," Econometric
    Theory, 5, 95-131.
    [37] Perron,P.(1988): "Trends and Random Walks in Macroeconomic
    Time Series:Further Evidence from a New Approach,"
    Journal of Economic Dynamics and Control, 12, 297-332.
    [38} Perron,P.(1989): "The Calculation of the Limiting Distribution
    of the Least Squares Estimator in a Near-integrated
    Model," Econometric Theory,5, 241-255.
    [39] Perron,P.(1989): "The Great Crash,the Oil Price Shock,and
    the Unit Root Hypothesis," EGonometrica, 57,1361-1401.
    [40] Perron,P.(1990): Time Series Econometrics, Lecture Notes for
    Econ.513 Dept. of Economics, Princeton University.
    [41] Perron,P.(1990): " Tests of Joint Hypothesis for Time Series
    Regression with a Unit Root," Advances in Econometrics,vol.8 135-160.
    [42] Phillips,P.C.B.& S.N.Durlauf(1986): "Multiple Time Series
    Regression with Integrated Processes," Review of Economic
    Studies, 53, 473-486.
    [43] Phillips,P.C.B.(1986): "Understanding Spurious Regressions
    in Econo111etrics," Journal of Econometrics, 33, 311-240.
    [44] Phillips:P.C.B.(1987a): "Tinle Series Regression with a Unit
    Root," Econometrica, 55, 277-301.
    [45] Phillips,P.C.B.(1987b): "Towards a Unified Asymptotic Theory
    for Autoregression," Biometrika, 74, 535-547.
    [46] Phillips,P.C.B.(1987c): "Asymptotic Expansions In Nonstationary
    Vector Autogressions," Econometric Theory, 3, 45-68.
    [47J Phillips,P.C.B.(1988a): "Regression Theory for Nearintegrated
    Time Series," Econometrica, 56, 1021-1043.
    [48] Phillips,P.C.B.(1988b): "Weak Convergence to the Matrix
    Stochastic Integral J EdE` ," Journal of rvIultivariate Analysis,24, 252-264.
    [49] Phillips,P.C.B.and P.Perron(1988): "Testing for a Unit Root
    in Time Series Regression," Biometrika, 75, 335-346.
    [50] Phillips,P.C.B. & S. Ouliaris(1988): "Testing for Coingegration
    Using Principal Components rvIethods, " Journal of Economics
    Dynamics and Control, 12, 205-230.
    [51] Phillips,P.C.B. & S. Ouliaris(1990): "Asymptotic Properties
    of Residual Based Tests for Cointegration," Econometrica, 58,165-193.
    [52] Phillips,P.C.B.(1991): "To Criticize the Critics: An Objective
    Bayesian Analysis of Stochastic Trends," Journal of Applied
    Econometics, 6, 333-364.
    [53] Quah,D.& J.M.Wooldriclge(1988): "A Common Error in the
    Treatnlent of Trending Time Series," Massachusetts Institute
    of Technology. Department of Economics. working paper No.483.
    [54] Said S.E.,(1991): "Unit Roots Test for Time Series Data with
    a Linear Time Trend," Journal of Econometrics., 47 ,285-303.
    [55] Said S.E.and D.A.Dickey(1984): "Testing for Unit Roots in
    ARNIA(p,q) Model with Unknown p and q," Biometrika, 71,599-607.
    [56] Schidmidt,P.(1990): "Dickey-Fuller Test with Drift," Advances
    in Econometrics, vol.8 161-200.
    [57] Schotman,P.C.& H.K.van Dijk(1991a): "A Bayesian Analysis
    of the Unit Root in Real Exchange Rates," Journal of Econometrics,
    49, 195-238.
    [58] Schotman,P.C.& H.K.van Dijk(1991b): "On Bayesian Routes
    to Unit Roots," Institute for Empirical Macroeconomics Minneapolis
    ,Disscussion Paper No 43.
    [59] Schwert, G. W. (1 987): "Effects of Model Specification on Tests
    for Unit Roots in Macroeconomic data," .Journal of Monetary
    Economics, 20, 73-103.
    [60] Schwert,G.W.(1989): "Tests for Unit Roots:A Tvlonte Carlo
    Investigation," .Journal of Business and Economic Statistics,
    7,147-160.
    [61] Shiller,R.J. & P. Perron(1985): "Testing the Random Walk
    Hypothesis: Power Versus Frequency of Observation," Economics
    Letters, 18, 381-386.
    [62] Sims,C.A.(1988): "Bayesian Skepticism on Unit Root Econometrics,"
    Journal of Economic Dynamics and Control, 12,463-474.
    [63] Sims,C.A.,J.H.Stock)and i\\lI.W.Watson(1990): "Inference in
    Linear Time Series iVlodels with Some Unit Roots," Econometrica,
    58, 113-144.
    [64] Stock,J.& M.W. Watson(1988): "Testing for Common
    Trends," Journal of the American Statistical Association, 83,1097-1107.
    [65] Stock,.J.H.(1991): "Confidence Intervals for the Largest Autoregressive
    Root in U.S.Macroeconornic Time Series," Journal
    Of Monetary Monetary Economics, 28, 435-459.
    [66] West,K.D.(1988): "Asymptotic Normality when Regressors
    have a Unit Root," Economictrica, 56, i397-1417.
    [67] White,J.S.(1958): "The Limiting Distribution of the Serial
    Correlation Coefficient in the Explosive Case," Annals of
    Mathematical Statistics, 29, 1188-1197.
    [68] White,H.(1984): Asymptotic Theory for Econometricians,
    New York:Acadernic Press.
    Description: 博士
    國立政治大學
    經濟學系
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G91NCCV9052012
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2320View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback