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| Title: | 近似無關迴歸模型：分量迴歸之應用 |
| Authors: | 張珣 |
| Contributors: | 林馨怡
張珣 |
| Keywords: | 近似無關迴歸模型
資料重排分量迴歸
近似無關分量迴歸
遠期匯率不偏性 |
| Date: | 2012 |
| Issue Date: | 2013-07-01 17:38:01 (UTC+8) |
| Abstract: | 本文探討如何將近似無關迴歸模型(SUR)與分量迴歸結合,聯合多條迴歸方程式,估計不同分量下自變數對應變數的影響效果。本文提出資料重排分量迴歸,以SUR模型的資料排列方式堆疊在一起,再以分量迴歸進行估計,估計方法容易理解,實際計算也較易操作,不僅可以考慮不同方程式間的同期相關性,也可觀察不同分量下的邊際效果,使估計結果更為準確,同時,本文以模擬方式比較分量迴歸、Zhao(2001)的加權分量迴歸、Jun and Pinkse(2009)的近似無關分量迴歸及資料重排分量迴歸等估計方法,結果顯示資料重排分量迴歸的估計式同時兼具準確性與精確性,為一良好的估計方法。接著,本文延伸Frankel and Poonawala(2010)的研究使用資料重排分量迴歸進行分析,實證結果顯示高階市場貨幣與新興市場貨幣以遠期溢酬作為未來即期匯率報酬的預測上都是偏誤的,且高階市場貨幣的偏誤大於新興市場貨幣,當匯率變化較大時,亦即高分量時,不論是高階市場或是新興市場匯率偏誤都會變小。 |
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| Description: | 碩士
國立政治大學
經濟學系
100258012
101 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0100258012 |
| Data Type: | thesis |
| Appears in Collections: | [經濟學系] 學位論文
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