博碩士論文 etd-0720106-131336 詳細資訊


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姓名 方新雅(Hsin-ya Fang) 電子郵件信箱 E-mail 資料不公開
畢業系所 經濟學研究所(Economics)
畢業學位 碩士(Master) 畢業時期 94學年第2學期
論文名稱(中) 檢定時間數列的分數差分參數
論文名稱(英) none
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    摘要(中) 本文推導出一個半母數 (semi-parametric method) 的方法去推論一個緩長記憶模型 (I(d) process) 的差分係數,模擬結果顯示在有限樣本下,這個方法有極小的型一誤差的扭曲 (size distortion ) 和良好的檢定力 (power) 表現。最後本文以兩個實例來說明如何應用這個方法。
    摘要(英) none
    關鍵字(中)
  • 緩長記憶模型
  • 型一誤差的扭曲
  • 關鍵字(英)
  • size distortion
  • 論文目次 目 錄
    第一章 緒 論 1
    第一節 研究動機與目的 1
    第二節 研究方法與研究架構 2
    第二章 文獻回顧及探討 3
    第一節 文獻回顧 3
    第二節 文獻探討 4
    第三章 創新過程的基本假設 6
    第一節 創新過程的基本假設 6
    第二節 輔助定理 7
    第四章 模型和估計式 10
    第一節 一般非穩定 ( nonstationary ) 的I(d) 過程 10
    第二節 統計的極限分配 13
    第五章 分數差分參數的統計推論 19
    第一節 0.5< d < 1 的檢定 19
    第二節 當d=1 的檢定 27
    第三節 當0< d <0.5的檢定 28
    第六章 在有限樣本下的型一誤差的扭曲和檢定力 29
    第七章 實證應用 33
    第一節 實質利率水準資料 33
    第二節 失業率的資料 34
    第八章 結 論 38
    參 考 文 獻 40

    表 目 錄
    表一 : Z(d)和Zu(d)統計的臨界值 23
    表二 :GPH,Z(d)和Zu(d)統計的型一誤差的扭曲和檢定力 31
    表三-1 :Zu(d)檢定在 Mishikin 的資料 35
    表三-2 : Zu(d)在失業率資料之檢定 36
    參考文獻 參 考 文 獻
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    口試委員
  • 許永河 - 召集委員
  • 曾憲郎 - 委員
  • 李慶男 - 指導教授
  • 口試日期 2006-06-30 繳交日期 2006-07-20

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