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    题名: 近單根模型之最小平方估計量的預測誤差
    Mean-squared prediction errors of the least squares predictors in near-integrated models
    作者: 張凱君
    Chang, Kai-Jiun
    贡献者: 郭炳伸
    張凱君
    Chang, Kai-Jiun
    关键词: 近單根模型
    方均預測誤差
    near-integrated models
    mean-squared prediction errors
    日期: 2001
    上传时间: 2016-04-18 16:24:13 (UTC+8)
    摘要: The asymptotic expression for the mean-squared prediction error is discussed for the near-unit-root models. We find the mean-squared prediction error based on the ordinary least square estimator is smaller than the one using pretest estimating under some certain conditions.
    參考文獻: [Chan & Wei (1987)] Chan, N.H. and Wei, C.Z. (1987), Asymptotic inference fonearly nonstationary AR(1) processes, Ann. of Statist. 15, 1050-1063.
    [Dickey & Fuller (1979)] Dickey, D.A. and Fuller, W.A. (1979), Distribution of the estimators for autoregressive time series with a unit root, J. Am. Statist. Assoc. 74, 427-431.
    [Dickey & Fuller (1981)] Dickey, D.A. and Fuller, W.A. (1981), Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica 49, 1057-1072.
    [Diebold & Kilian (2000)] Diebold, F.X. and Kilian, L. (2000), Unit-root tests are useful for selecting forecasting models, J. Bus. Econ. Statist. 18, 265-273.
    [Fuller (1976)] Fuller, W.A. (1976), Introduction to Statistical Time Series, New York: Wiley.
    [Ing (2000)] Ing, C.K. (2000), A note on mean-squared prediction errors of the least squares predictors in random walk models, J. Time Series Anal., forthcoming.
    [Lai & Wei (1983)] Lai, T.Z. and Wei, C.Z. (1983), Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates, J. Multivariate Anal. 13, 1-23.
    [Phillips (1987a)] Phillips, P.C.B. (1987a), Times series regression with a unit root, Econometrica 55, 277-302.
    [Phillips (1987b)] Phillips, P.C.B. (1987b), Towards a unified asymptotic theory of autoregression, Biometrika 74, 535-547.
    [Phillips (1988)] Phillips, P.C.B. (1988), Regression theory for near-integrated time series, Econometrica 56, 1021-1043.
    [Wei (1987)] Wei, C.Z. (1987), Adaptive prediction by the least squares predictors in stochastic regression models with application to time series, Ann. Statist. 15, 1667-1682.
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    88351027
    資料來源: http://thesis.lib.nccu.edu.tw/record/#A2002001508
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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