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    Title: 共積計量方法之比較研究 --- 臺灣總體經濟數列之實證分析
    The comparative study of cointegration theory ---the empirical analysis in the macroeconomic series of Taiwan.
    Authors: 王美鈺
    Wang, Mei-Yu
    Contributors: 汪義育
    王美鈺
    Mei-Yu Wang
    Keywords: 共積
    誤差修正
    共同趨勢
    共積迴歸
    自迴歸表現式
    Cointegration
    Error Correction
    Common Trend
    Cointegrating
    Autoregressive
    Date: 1993
    Issue Date: 2016-04-29 16:42:48 (UTC+8)
    Abstract: 總體經濟或財務理論之所以發生爭端,主要癥結不在理論之優劣,而是
    Reference: ( 一)中文部分:
    [1]汪義育(1989) :「總體經濟時間數列分析之方法與應用」,臺北: 華泰。
    [2]梁志民(1990) :「臺灣總體經濟數列長期趨勢與短期波動關聯之研究」,國立政治大學財政研究所碩士論文。
    [3]蔡麗茹(1992) :「總體數列之非但定計量方法與應用」,國立政治大學經濟學研究所博士論文。
    (二)英文部分:
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    [5] Billingsley, P.(1968)-" Convergence of Probability Measure" ,(New York ,John Wiley).
    [6] Dickey , David A. (1976)-" Estimation and Hypothesis Testing for Nonstationary Time Series" , Ph.D. Thesis, Iowa State University ,Ames
    [7] Dickey, David A., Dennis W. Jansen and Daniel L. Thornton (1991)-" A Primer On Cointegration with An Application to Money and Income" , Federal -Reserve-Bank-of-St. Louis- Review, V 73(2), pp .58-78.
    [8] Dickey, D. A. and W. A. Fuller (1979)-" Distribution of the Estimates for Autoregressive Time Series with a Unit Root" , Journal of the American Statistical Association, 74 , pp.4 27-4 31 .
    [9] Dickey, D. A. and W. A. Fuller (1981 )-" Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root " , Econometrica , 49 , pp.753-779.
    [10] Engle R . F. and Granger C. W. J. (1987)-" Cointegration and Error Correction : Representation , Estimation , and Testing" , Econometrica , Vol. 55 , No.2 , March pp.251-276.
    [11] Engle R. F. and Granger C. W. J. (1991)- " Long-Run Economic Relationship.- Readings in Cointegration " , Oxford University Press.
    [12] Engle R. F. and J. Hallman (1990)-" Merging short and Long-Run Forecasts: an Application of Seasonal Cointegration to Monthly Electricity Sales Forecasting" , Journal of Econometrics , 40 , pp·45-62.
    [13] Engle R. F. and Sam Yoo (1986)-" Forecasting and Testing in Cointegrated Systems" , UCSD Discussion Paper.
    [14]Engle R. F. and Sam Yoo (1987)-" Cointegrated Econoic Time Series: An Overview with New Results" , European Meeting of the Econometric Society in Copenhagen 24-8 August.
    [15] Engle R. F. and T. Bollerslev. (1986)-" Modelling the Persistence of Conditional Variance" Econometric Review , 5.pp.1-50.
    [16] Escribano , Alvaro (1987)-" Error-Correction Systems: Nonlinear Adjustments to Linear Long-Run Relationships" , CORE Discussion Paper 8730.
    [17] Granger C. W. J. (1981)-" Some Properties of Time Series Data and Their Use in Econometrics Model Specification " , Journal of Econometrics 16 pp.121-130.
    [18] Granger C. W. J. (1983)-" Cointegated Variables and Error-Correcting Models" UCSD Discussion Paper pp. 83-113.
    [19] Granger C. W. J. (1986)-" Developments in the Study of Cointegated Economic Variables " Oxford Bolletin of Economies and Statistics, 48:3, pp .213-228.
    [20] Granger C. W. J. and "Weiss (1983)-" Time Series Analysis of Error- Correcting Model , in Studies in Econometric Time Series and Multivariate Statistics (New York ) Academic Press, pp.255-278.
    [21] Hannan, E. J.(1970)-" Multiple Time Series"( New York) Wiley.
    [22] Hylleberg , S., R. f. Engle, C. W. J. Granger, and B. S. Yoo (1990) -" Seasonal Integration and Cointegartion " , Forthcoming, Journal of Economeirics,44, pp.215-238.
    [23] Johansen Soren (1985 )-" The Mathematical Structure of Error Correction Models" , preprint KUIMS.
    [24] Johansen Soren (1988)-" Statistical Analysis of Cointegartion Vectors" , Journal of Economic Dynamics and Control ,12, pp.231 -254.
    [25] Johansen Soren (1991)-" Estimation and Hypothesis Testing of Cointegration Vector in Gaussian Vector Autoregressive Models" , Econometrica , 59, pp.1551-1580.
    [26] Johansen Soren and Katarina Juselius (1990)-" Maximum likelihood Estimation and Inference on Cointegration-with Applications to the Demand for Money " , Oxford Bulletin of Economics and Statistics , 52, pp.162 -210.
    [27] James H. Stock and Mark W. Watson (1988)-" Testing for Common Trends " , Journal of the American Statistical Association , December, Vol. 83 ) No . 404 pp .1091-1101.
    [28] Phillips , A. W. (1957)-" Stabilization Policy and the Time Forms of Lagged Responses" , Economic Journal 61 ,pp .265-211.
    [29] Phillips , P . C. B. and S. Quliaris (1990)-" Asymptotic Properties of Residual Based Tests for Cointegration " , Econo-metrica 58, pp.165-193.
    [30] Pierre Perron (1990)-" Time Series Econometrics " , Lecture Notes for Econ 513 , Department of Economics, Princeton University.
    [31] Phillips, P. C. B. and S. Quliaris (1988)-" Testing for Cointegration Using Principal Components Mothods " , Journal of Economics Dynamics and Control , 12 , pp. 205- 230.
    [32] Roger Perman (1991)-" Cointegration: An Introduction to the Literature " ,Journal of Economic Studies, Vol. 18 , No.3 pp. 3-30.
    [33] Sargan , J. D. (1964)-" `Wages and Prices in the United Kingdom: A Study in Econometric Methodology " , Econometric Analysis for National Economic Planning , ed.
    [34] Sims, C. A. , J. H. Stock, and M W. ,Watson (1986)-" Inference in Linear Time Series Models with Unit Roots ,Manuscript , University of Minnesota, Frothcoming, E conometrica.
    [35] Sims, C. A. , J. H. Stock, and M. W. Watson (1990) Inference in Linear Time Series Models with Some Unit Roots , Econometric a, 58, pp. 11 3-144.
    [36] Wayne A. Fuller (1976)-" Introduction to Statistical Time Series , Iowa State University.
    [37] White, J. S. (1958)-" The Limiting Distribution of the Seri al Correlation
    Coefficient in the Explosive Case" , Annals of Mathematical Statistics, 29 , pp .11 88-1197.
    [38] Yoo, B. Sam (1986)-" Multi-Cointegrated Time Series and
    Generalized Error-Correction Models" Economics Department)
    University of California ) San Diego Working Paper.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    80351001
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002004153
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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