:::

詳目顯示

回上一頁
題名:Modelling Business Cycles in Taiwan with Time-Varying Markov-Switching Models
書刊名:經濟論文
作者:陳仕偉 引用關係林金龍 引用關係
作者(外文):Chen, Shyh-weiLin, Jin-lung
出版日期:2000
卷期:28:1
頁次:頁17-42
主題關鍵詞:馬可夫轉換模型景氣循環領先指標同時指標Markov-switching modelTime-varying transition probabilityTaiwan business cycleLeading indexCoincident index
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(5) 博士論文(0) 專書(1) 專書論文(0)
  • 排除自我引用排除自我引用:3
  • 共同引用共同引用:33
  • 點閱點閱:32
期刊論文
1.Diebold, F. X.、Rudebusch, G. D.(1989)。Scoring the Leading Indicator。The Journal of Business,62,369-391。  new window
2.Ghysels, E.(1994)。On the Periodic Structure of the Business Cycle。Journal of Business & Economic Statistics,12(3),289-298。  new window
3.Goodwin, T. H.(1993)。Business-cycle Analysis with a Markov-switching Model。Journal of Business & Economic Statistics,11,331-339。  new window
4.Hamilton, J. D.、Perez-Quiros, G.(1996)。What Do Leading Indicators Lead?。The Journal of Business,69,27-49。  new window
5.Kim, C. J.、Nelson, C. R.(1998)。Business Cycle Turning Points, A New Coincident Index, and Tests of Duration Dependence Based on a Dynamic Factor Model with Regime Switching。The Review of Economics and Statistics,80(2),188-201。  new window
6.Kim, M. J.、Yoo, Ji-Sung(1995)。New Index of Coincident indicators: A Multivariate Markov Switching Factor Model Approach。Journal of Monetary Economics,36,607-630。  new window
7.Lahiri, K.、Wang, Jiazhuo G.(1994)。Predicting Cyclical Turning Points with Leading Index in A Markov Switching Model。Journal of Forecasting,13,245-263。  new window
8.Layton, A. P.(1998)。A Further Test of the Influence of Leading Indicators on the Probability of US Business Cycle Phase Shifts。International Journal of Forecasting,14,63-70。  new window
9.Franses, P. H.、Paap, R.(1999)。Does seasonality influence the dating of business cycle turning points?。Journal of Macroeconomics,21,79-92。  new window
10.Hansen, B. E.(1992)。The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP。Journal of Applied Econometrics,7,61-82。  new window
11.林向愷、黃裕烈、管中閔(19981200)。景氣循環轉折點認定與經濟成長率預測。經濟論文叢刊,26(4),431-457。new window  延伸查詢new window
12.Hamilton, J. D.(1990)。Analysis of time series subject to changes in regime。Journal of Econometrics,45,39-70。  new window
13.Kim, C. J.(1994)。Dynamic linear models with Markov-switching。Journal of Econometrics,60,1-22。  new window
14.Hamilton, James D.(1989)。A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle。Econometrica: Journal of the Econometric Society,57(2),357-384。  new window
15.Hylleberg, S.、Engle, R. F.、Granger, C. W. J.、Yoo, B. S.(1990)。Seasonal Integration and Co-Integration。Journal of Econometrics,44,215-238。  new window
16.Diebold, F. X.、Rudebusch, G. D.(1996)。Measuring Business Cycles: A Modern Perspective。The Review of Economics and Statistics,78,67-77。  new window
17.Friedman, M.(1993)。The Plucking Model of Business Fluctuations Revisited。Economic Inquiry,31(2),171-177。  new window
18.Garcia, R.(1998)。Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Model。International Economic Review,39,763-788。  new window
19.Hamilton, J. D.(1996)。Specification Testing in Markov-Switching Time-Series Models。Journal of Econometrics,70,127-157。  new window
20.Hansen, Bruce E.(1996)。Erratum: The Likelihood Ratio Test Under Nonstandard Conditions: Testing the Markov Switching Model of GNP。Journal of Applied Econometrics,11(2),195-198。  new window
21.Psaradakis, Z.、Sola, M.(1998)。Finite-Sample Properties of the Maximum Likelihood Estimation in Autoregressive Model with Markov Switching。Journal of Econometrics,86,369-386。  new window
22.陳仕偉、林金龍(1999)。How Useful Are the Leading and Coincident Indexes in Taiwan? An Application Analysis with Bivariate Markov Switching Models。Empirical Economics。  new window
23.Layton, A. P.(1996)。Dating and Predicting Phase Changes in the U. S. Business Cycle。International Journal of Forecasting,12,417-458。  new window
24.Lam, P.-S.(1990)。The Hamilton Model with a General Autoregressive Component: Estimation and Comparison with Other Models of Economic Time Series。Journal of Monetary Economics,26,409-432。  new window
25.Gang, Lin、Hamilton, James D.(1996)。Stock Market Volatility and the Business Cycle。Journal of Applied Econometrics,11(5),573-593。  new window
26.Gordon, S. F.、Filardo, A. J.(1998)。Business Cycle Durations。Journal of Econometrics,85,99-123。  new window
27.Filardo, Andrew J.(1994)。Business-cycle Phases and Their Transitional Dynamics。Journal of Business & Economic Statistics,12(3),299-308。  new window
28.Durland, J. M.、McCurdy, T. H.(1994)。Duration-Dependent Transitions in A Markov Model of U. S. GNP Growth。Journal of Business & Economic Statistics,12,279-288。  new window
29.Chib, S.、Albert, J. H.(1993)。Bayesian Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts。Journal of Business & Economic Statistics,11,1-15。  new window
30.黃朝熙(1999)。臺灣景氣循環的階段與特色:馬可夫狀態轉換模型的分析。經濟論文叢刊,27(2),185-213。  延伸查詢new window
圖書
1.Friedman, M.(1969)。The Optimum Quantity of Money: and Other Essays。Chicago, IL:Aldine。  new window
2.Maddala, Gangadharrao S.、Kim, In-Moo(1998)。Unit Roots, Cointegration, and Structural Change。Cambridge:Cambridge University Press。  new window
3.Hamilton, James D.(1994)。Time Series Analysis。Princeton University Press。  new window
4.Burns, A. F.、Mitchell, W. C.(1946)。Measuring Business Cycles。New York:National Bureau of Economic Research。  new window
圖書論文
1.Diebold, F. X.、Lee, J. H.、Weinbach, G. C.(1994)。Regime Switching with Time-Varying Transition Probabilities。Nonstationary Time Series Analysis and Cointegration。Oxford University Press。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE