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    政大機構典藏 > 商學院 > 統計學系 > 學位論文 >  Item 140.119/68229


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    題名: 兩群時間序列Granger領先關係之新檢定方法
    New Tests of Granger Causality for two Groups of Time Series
    作者: 張欣惠
    貢獻者: 洪英超
    張欣惠
    關鍵詞: 向量自我回歸模型
    Granger 領先關係
    Wald test
    檢定力
    日期: 2013
    上傳時間: 2014-08-06 11:39:53 (UTC+8)
    摘要: 驗證兩群時間序列間之領先關係不但在經濟的領域上為重要的課題之一，在其他領域也被廣泛地應用。由於傳統檢定此多變量常態分配之平均向量的Uniformly most powerful(UMP) test 通常不存在，因此在本文中介紹一些新檢定統計量，用於檢定多變量Granger 領先關係檢定，判斷兩群時間序列間是否存在領先關係，並於定態(stationary) vector autoregression (VAR) 模型為背景下進行。這些新檢定統計量之接受域臨界值可以從多變量常態分配中計算或估計出，因此不論在操作或執行上皆相當容易，除此之外，在一些參數限制下，這些新檢定統計量皆有各自的使用時機，使得與傳統Wald test相比有較好之檢定力。最後，藉由美國兩組經濟指標資料進行實證分析，評估本研究建議之新檢定統計量。
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    描述: 碩士
    國立政治大學
    統計研究所
    101354012
    102
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G1013540121
    資料類型: thesis
    顯示於類別:[統計學系] 學位論文

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