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題名：九零年代臺灣的景氣循環：馬可夫轉換模型與紀卜斯抽樣法的應用
書刊名：人文及社會科學集刊
作者：徐士勛／管中閔
作者(外文)：Hsu, Shih-hsun／Kuan, Chung-ming
出版日期：2001
卷期：13:5
頁次：頁515-540
主題關鍵詞：景氣循環；紀卜斯抽樣法；馬可夫轉換模型；結構性轉變；Business cycles；Gibbs sampling；Markov switching model；Structural change
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(23) 博士論文(2) 專書(1) 專書論文(0)
  • 排除自我引用排除自我引用:22
  • 共同引用共同引用:41
  • 點閱點閱:36
期刊論文
1.Casella, G.、George, E.(1992)。Explaining the Gibbs Sampler。The American Statistician，46(3)，167-174。  new window
2.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
3.饒秀華、林修葳、黎明淵(20010900)。藉由分期MS模型分析臺灣經濟景氣狀態。經濟論文，29(3)，297-319。new window  延伸查詢new window
4.Blanchard, Oliver Jean、Quah, Danny(1989)。The Dynamic Effects of Aggregate Demand and Supply Disturbances。The American Economic Review，79(4)，655-673。  new window
5.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
6.Hamilton, J. D.(1990)。Analysis of time series subject to changes in regime。Journal of Econometrics，45，39-70。  new window
7.Kim, C. J.(1994)。Dynamic linear models with Markov-switching。Journal of Econometrics，60，1-22。  new window
8.Gelfand, Alan E.、Smith, Adrian F. M.(1990)。Sampling-Based Approaches to Calculating Marginal Densities。Journal of the American Statistical Association，85(410)，398-409。  new window
9.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
10.Perron, Pierre(1989)。The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis。Econometrica: Journal of the Econometric Society，57(6)，1361-1401。  new window
11.Zivot, Eric、Andrews, Donald W. K.(1992)。Further Evidence on the Great Crash, the Oil-price Shock, and the Unit-root Hypothesis。Journal of Business and Economic Statistics，10(3)，251-270。  new window
12.林向愷、黃朝熙(19930600)。臺灣同時與領先經濟指標的估計與認定:1968-1991。經濟論文叢刊，21(2)，123-160。new window  延伸查詢new window
13.Andrews, Donald W. K.(1993)。Tests for parameter instability and structural change with unknown change point。Econometrica，61(4)，821-856。  new window
14.Diebold, F. X.、Rudebusch, G. D.(1996)。Measuring Business Cycles: A Modern Perspective。The Review of Economics and Statistics，78，67-77。  new window
15.McCulloch, R. E.、Tsay, R. S.(1994)。Statistical analysis of economic time series via Markov switching models。Journal of Time Series Analysis，15，523-539。  new window
16.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
17.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
18.Geman, S.、Geman, D.(1984)。Stochastic Relaxation, Gibbs Distribution and the Bayesian Restoration of Images。IEEE Transactions on Pattern Analysis and Machine Intelligence，12，609-628。  new window
19.陳仕偉、林金龍(2000)。臺灣景氣循環轉折點之認定：多變量動態馬可夫轉換單因子模型之應用。經濟論文，28(3)，289-320。  延伸查詢new window
20.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
21.Chib, S.、Greenberg, E.(1996)。Markov chain Monte Carlo simulation methods in econometrics。Econometric Theory，12，409-431。  new window
研究報告
1.陳仕偉、林金龍(2000)。Econometric Modelling Business Cycle in Taiwan with Markov-Switching Vector Autoregressions。0。  new window
學位論文
1.徐士勛(2000)。臺灣景氣波動之計量分析，0。  延伸查詢new window
圖書
1.Hamilton, James D.(1994)。Time Series Analysis。Princeton University Press。  new window
2.Kim, C. J.、Nelson, C. R.(1999)。State-space models with regime switching: classical and gibbs sampling approaches with applications。MIT Press。  new window
3.Lucas, R. E.(1977)。Understanding Business Cycles。Stabilization of the Domestic and International Economy。Amsterdam, Netherlands。  new window
4.Krishnaiah, Paruchuri R.、Miao, B. Q.(1988)。Review about Estimation of Chang Points。Handbook of Statistics, 7。沒有紀錄。  new window
圖書論文
1.Stock, J. H.、Watson, M. W.(1991)。A Probability Model of Coincident Economic Indicators。Leading Economic Indicators: New Approaches and Forecasting Records。Cambridge：Cambridge University Press。  new window
2.Stock, James H.、Watson, Mark W.(1989)。New Indexes of Coincident and Leading Economic Indicators。NBER Macroeconomics Annual。Cambridge, Massachusetts：MIT Press。  new window
 
 
 
 
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