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博碩士論文 etd-0711109-175928 詳細資訊
Title page for etd-0711109-175928
論文名稱
Title
共積模型適合度檢定
none
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
47
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2009-06-24
繳交日期
Date of Submission
2009-07-11
關鍵字
Keywords
共積、KVB法
Robust Test, KVB Approach, Cointegration, Mixingale
統計
Statistics
本論文已被瀏覽 5747 次,被下載 1954
The thesis/dissertation has been browsed 5747 times, has been downloaded 1954 times.
中文摘要
Lee, Ying, and Wang (2007) 推導出一套針對兩個共積模型的配適能力做比較的檢定。文中假設兩共積模型的干擾項在跨期具有Mixingale 性質的相依關係, 但此兩組數據彼此間不存在相關性。在此假設下討論兩模型的共積干擾項的變異數是否有顯著較小的情形, 若有一共積模型干擾項的變異數顯著較小,則此模型配適能力較高。本文放寬原文不存在相關性的假設, 並運用Kiefer, Vogelsang, and Bunzel (2000) (KVB 法) 所提出之方法, 繞過共變異矩陣的一致性估計問題, 建立新的穩健的(Robust) 檢定統計式。
Abstract
none
目次 Table of Contents
第1章 緒論 ............................................................................1
第1.1節 研究目的 .................................................................1
第1.2節 文獻回顧 .................................................................3
第2章 計量方法 ....................................................................6
第2.1節 模型設定..................................................................6
第2.2節 共積模型配適檢定..................................................8
第2.3節 KVB法下的檢定統計式........................................19
第2.4節 模擬檢定統計式之極限分配的臨界值表............21
第3章 實證分析 ..................................................................24
第3.1節 資料來源與處理 ...................................................25
第3.2節 單根及共積檢定 ...................................................25
第3.3節 實證結果 ...............................................................26
第4章 結論 ..........................................................................29
參考文獻 .............................................................................30
附錄A ..................................................................................33
附錄B ..................................................................................35
附錄C .................................................................................36
參考文獻 References
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3.Ball, L., and Croushore, D. (2003). Expectations and the Effects of Monetary Policy. Journal of Money, Credit and Banking, 35(4), 473-484.
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14.Kiefer, N. M., and Vogelsang, T. J. (2002b). Heteroskedasticity-Autocorrelation Robust Testing Using Bandwidth Equal to Sample Size. Econometric Theory, 18(6), 1350-1366.
15.Kiefer, N. M., Vogelsang, T. J., and Bunzel, H. (2000). Simple Robust Testing of Regression Hypotheses. Econometrica, 68(3), 695-714.
16.Kuan, C., and Lee, W. (2006). Robust M Tests Without Consistent Estimation of the Asymptotic Covariance Matrix. Journal of the American Statistical Association, 101(475), 1264 - 1275.
17.Lee, Ying, and Wang (2007). The Monetary Policy of the US-Application of Test of Cointegration with Unequal Variances, The Taipei International Conference on Modeling Monetary and Financial Sectors, Institute of Economics, Academia Sinca, Taipei.
18.McLeish, D. L. (1975). A Maximal Inequality and Dependent Strong Laws. The Annals of Probability, 3(5), 829-839.
19.Newey, W. K., and West, K. D. (1987). A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica, 55(3), 703-708.
20.Ng, S., and Perron, P. (1996). The Exact Error in Estimating the Spectral Density at the Origin. Journal of Time Series Analysis, 17(4), 379-408.
21.Rencher, A. C. (1995). Methods of Multivariate Analysis. New York: Wiley.
22.Scott, D. J. (1973). Central Limit Theorems for Martingales and for Processes with Stationary Increments Using a Skorokhod Representation Approach. Advances in Applied Probability, 5(1), 119-137.
23.Stout, W. F. (1974). Almost Sure Convergence. New York: Academic Press.
24.Thornton, D. L. (2006). When Did the FOMC Begin Targeting the Federal Funds Rate? What the Verbatim Transcripts Tell Us. Journal of Money, Credit and Banking, 38(8), 2039-2071.
25.White, H. (2001). Asymptotic Theory for Econometricians. San Diego: Academic Press.
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