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論文名稱 Title |
考量起始值下的共整合檢定 Tests for Cointegration and the Initial Conditions |
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系所名稱 Department |
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畢業學年期 Year, semester |
語文別 Language |
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學位類別 Degree |
頁數 Number of pages |
32 |
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研究生 Author |
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指導教授 Advisor |
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召集委員 Convenor |
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口試委員 Advisory Committee |
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口試日期 Date of Exam |
2007-06-22 |
繳交日期 Date of Submission |
2007-06-25 |
關鍵字 Keywords |
共整合、判別函式、誤差檢定、起始值條件 initial conditions, cointegration, discriminant function, residual based test |
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統計 Statistics |
本論文已被瀏覽 5769 次,被下載 1514 次 The thesis/dissertation has been browsed 5769 times, has been downloaded 1514 times. |
中文摘要 |
一反傳統推導共整合檢定統計量時假設起始值為零的做法,本文嘗試將起始值參數化,在推導檢定統計量的過程中將起始值條件納入考慮。如此推導下的檢定統計量,不只可幫助我們了解起始值如何影響共整合檢定,也可幫助我們判別兩組資料間是否存在共整合關係。而此種依據判別函式以及誤差檢定所構成的檢定統計量也可讓我們依據手中握有的資訊來模擬出所需要的查表值。 |
Abstract |
In stead of assuming the starting observations as zero, the cointegration test statistic derived in this paper takes the initial conditions into consideration. The statistic helps us understand how the initial conditions affect the test and helps us recognize whether the cointegration relationship exists in the data generation process or not. Beside, with this statistic derived with the concept of discriminant function and residual based test, we can simulate our own critical value table in according to what starting observations we have in hand, what significant level we want and what value of rho we meet under H_1. |
目次 Table of Contents |
1 Introduction 3 2 Hypothesis Testing And Initial Condition 7 2.1 Preliminary ................................7 2.2 The Discriminant ..........................11 2.3 The Statistic for Cointegration Test ......14 3 Simulation 19 4 Conclusion 25 |
參考文獻 References |
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