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| Title: | The Cointegration of Exchange、Interetest Rate、Money Supply、 Real GNP---the Application of Johansen Sequential Testing Procedure |
| Authors: | 吳明修
Wu, Ming-Shou |
| Contributors: | 饒秀華
Rao, Xiu-Hua
吳明修
Wu, Ming-Shou |
| Keywords: | 共積
非恆定
Cointegration
Non-stationary
Johansen sequential testing Procedure |
| Date: | 1996 |
| Issue Date: | 2016-04-28 11:33:55 (UTC+8) |
| Abstract: | 本文的主要目的為比較不同模型或者不同檢定所產生的不同結果。選擇的遞延期數(lag)不同,則所得到的模型與共積數目也不一樣,使得不同遞延期數(lag)、不同模型 所得到的共積關係也不相同。所以本文將驗證在不同遞延期數下,所得到的不同模型共積關係的表現。因此希望利用Johansen Sequential Testing Procedure來同時決定共積關係數目及資料產生過程(DGP),而且也能探討共積關係。但其仍有缺點,例如Johansen Sequential Testing Procedure所取的遞延期數不同則所選定的模型也將不一樣,另一點是共積係數的估計值只是一basis。 |
| Reference: | 一、中文部份
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
83351019 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#B2002002736 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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