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    政大機構典藏 > 商學院 > 統計學系 > 學位論文 >  Item 140.119/141003


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/141003


    题名: 以非樞紐統計量為基礎之格蘭傑因果關係檢定
    Granger Causality Test Based on Non-pivotal Statistics
    作者: 姚惠元
    Yao, Huei-Yuan
    贡献者: 洪英超
    Hung, Ying-Chao
    姚惠元
    Yao, Huei-Yuan
    关键词: 格蘭傑因果關係
    Modified Wald 檢定
    非樞紐統計量
    向量自迴歸
    Granger causality
    Modified Wald test
    Nonpivotal statistic
    Vector autoregression
    日期: 2022
    上传时间: 2022-08-01 17:14:43 (UTC+8)
    摘要: 格蘭傑因果關係是一個透過結合向量自迴歸模型中所有變數的資訊
    於衡量兩組時間序列間可預測性的經典統計分析工具,傳統分析格蘭
    傑因果關係的推論方法為 Wald 類型的檢定方法,然而這些檢定方法可
    能會面臨以下問題: 一、需要挑選微調參數,二、當預估測之共變異
    數矩陣為奇異矩陣時,用於推論的臨界值會失效。在這篇論文中,我
    們發展了一個基於非樞紐統計量的格蘭傑因果關係檢定,此方法不僅
    避免了以上兩個問題,相較於 Wald 類型的檢定,我們的方法有更佳的
    檢定力,最後我們也通過幾個模擬例子和實際資料分析驗證此方法的
    有效性。
    Granger causality is a classical tool for measuring predictability from one group of time series to another by incorporating information of variables described by a vector autoregressive (VAR) model. Traditional methods for validating Granger causality are based on the Wald type tests, which may encounter a problem with (i) tuning parameter selection or (ii) test-statistic inflation when the true covariance matrix is singular or near-singular. In this study, we propose an alternative procedure for testing Granger causality based on non-pivotal statistics. The proposed hypothesis testing method is valuable in that (i) it does not require any calibration of tuning parameters (thus saving huge computational cost); and (ii) it yields very competitive power values as compared with the Wald type tests. Finally, a number of simulation examples and a real data set are used to illustrate and evaluate the proposed method.
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    描述: 碩士
    國立政治大學
    統計學系
    109354004
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0109354004
    数据类型: thesis
    DOI: 10.6814/NCCU202200767
    显示于类别:[統計學系] 學位論文

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