Title page for etd-0624108-181632


[Back to Results | New Search]

URN etd-0624108-181632
Author Siang-kai Liao
Author's Email Address No Public.
Statistics This thesis had been viewed 5352 times. Download 1313 times.
Department Economics
Year 2007
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Bayesian Unit Root Test – Application for Exchange Rate Market
Date of Defense 2008-06-17
Page Count 43
Keyword
  • t Distribution
  • Empirical Rule
  • Unit Root
  • Bayesian
  • Exchange Rate Market
  • Abstract There should be more interpretations which are derived from data, presented by those professional analysts.
    The empirical rules and knowledge do help as making statistical inference in Econometrics.
    The approaches from classical statistical analysis make judges simply resulting from historical data.
    To be frank, the advantage of this analysis is the objectivity, but there is a fatal drawback. That is, it does not pay attention to some logically extra information.
    This paper is born for the applications of Bayesian, which has the essential characteristic of accepting subjective outlook, applying empirical rules to study unit root test on exchange rate market.
    Furthermore, the various distributions of data may have direct effect on the classical statistical inference we use, such as Dickey-Fuller and Phillips-Perron test. To take those defects into consideration, this paper tends not to take the assumption of disturbances in normal distribution as granted.
    For instance, it is quite common for us to confront the heavy-tailed distribution when studying some data of time series related to stocks and targets of investment. Hence, we will apply more generalized model to do research on Bayesian unit root test.
    Use the model of Schotman and Van Dijk (1991) and assuming disturbance shaped as independent student-t distribution to revise the unit root test, next, applying to exchange rate market. This is the motif of this paper.
    Advisory Committee
  • Ming-Jang Weng - chair
  • none - co-chair
  • Chingnum Lee - advisor
  • Files
  • etd-0624108-181632.pdf
  • indicate accessible in a year
    Date of Submission 2008-06-24

    [Back to Results | New Search]


    Browse | Search All Available ETDs

    If you have more questions or technical problems, please contact eThesys