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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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Spelling suggestions: "subject:"johansen sequential testing aprocedure"" "subject:"johansen sequential testing inprocedure""

1

The Cointegration of Exchange、Interetest Rate、Money Supply、 Real GNP---the Application of Johansen Sequential Testing Procedure

吳明修, Wu, Ming-Shou Unknown Date (has links)
本文的主要目的為比較不同模型或者不同檢定所產生的不同結果。選擇的遞延期數(lag)不同,則所得到的模型與共積數目也不一樣,使得不同遞延期數(lag)、不同模型 所得到的共積關係也不相同。所以本文將驗證在不同遞延期數下,所得到的不同模型共積關係的表現。因此希望利用Johansen Sequential Testing Procedure來同時決定共積關係數目及資料產生過程(DGP),而且也能探討共積關係。但其仍有缺點,例如Johansen Sequential Testing Procedure所取的遞延期數不同則所選定的模型也將不一樣,另一點是共積係數的估計值只是一basis。
共積
非恆定
Cointegration
Non-stationary
Johansen sequential testing Procedure

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