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題名：臺灣實質國民生產毛額年成長率的狀態變化意涵
書刊名：經濟論文
作者：陳宜廷 引用關係／謝志昇 引用關係
作者(外文)：Chen, Yi-ting／Hsieh, Chih-sheng
出版日期：2006
卷期：34:1
頁次：頁41-91
主題關鍵詞：馬可夫轉換自我迴歸模型；長短期狀態變換；景氣循環；模型區別檢定；Markov switching autoregressive model；Long-term and short-term regime-switching；Business cycles；Specification test
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(3) 博士論文(0) 專書(0) 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:46
  • 點閱點閱:48
期刊論文
1.Simon, John、Blanchard, Olivier(2001)。The Long and Large Decline in U.S. Output Volatility。Brookings Papers on Economic Activity，32(1)，135-174。  new window
2.Tong, H.、Lim, K. S.(1980)。Threshold Autoregression, Limit Cycles and Cyclical Data。Journal of the Royal Statistical Society Series B: Methodological，42(3)，245-292。  new window
3.Anderson, H. M.、Teräsvirta, T.(1992)。Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models。Journal of Applied Econometrics，7，119-136。  new window
4.Goodwin, T. H.(1993)。Business-cycle Analysis with a Markov-switching Model。Journal of Business & Economic Statistics，11，331-339。  new window
5.Hamilton, J. D.、Perez-Quiros, G.(1996)。What Do Leading Indicators Lead?。The Journal of Business，69，27-49。  new window
6.Eitrheim, Ǿ.、Teräsvirta, T.(1996)。Testing the Adequacy of Smooth Transition Autoregressive Models。Journal of Econometrics，74，59-75。  new window
7.Luukkonen, R.、Saikkonen, P.、Teräsvirta, T.(1988)。Testing Linearity against Smooth Transition Autoregressive Model。Biometrika，75(3)，491-499。  new window
8.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
9.徐士勛、管中閔(20011200)。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。人文及社會科學集刊，13(5)，515-540。new window  延伸查詢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.McConnell, Margaret M.、Perez-Quiros, Gabriel(2000)。Output Fluctuations in the United States: What Has Changed since the Early 1980's?。The American Economic Review，90(5)，1464-1476。  new window
12.Teräsvirta, Timo(1994)。Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models。Journal of the American Statistical Association，89(425)，208-218。  new window
13.Andrews, D. W. K.(1991)。Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation。Econometrica，59(3)，817-858。  new window
14.Godfrey, Leslie G.(1978)。Testing Against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables。Econometrica，46(6)，1293-1302。  new window
15.Politis, D. N.、Romano, J. P.(1994)。The Stationary Bootstrap。Journal of the American Statistical Association，89(428)，1303-1313。  new window
16.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
17.Engel, Charles、Hamilton, James D.(1990)。Long Swings in the Dollar: Are They in the Data and Do Markets Know It?。American Economic Review，80(4)，689-713。  new window
18.Vuong, Quang H.(1989)。Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses。Econometrica，57(2)，307-333。  new window
19.Breusch, T. S.(1978)。Testing for Autocorrelation in Dynamic Linear Models。Australian Economic Papers，17，334-355。  new window
20.MacKinnon, James G.、Davidson, Russell(1981)。Several Tests for Model Specification in the Presence of Alternative Hypotheses。Econometrica，49(3)，781-793。  new window
21.Diebold, Francis X.、Mariano, Roberto S.(1995)。Comparing Predictive Accuracy。Journal of Business and Economic Statistics，13(3)，253-263。  new window
22.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
23.Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica，55(3)，703-708。  new window
24.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
25.Ramsey, J. B.(1969)。Tests for Specification Errors in Classical Linear Least Squares Regression Analysis。Journal of the Royal Statistical Society, Series B: Methodological，31(2)，350-371。  new window
26.Friedman, M.(1993)。The Plucking Model of Business Fluctuations Revisited。Economic Inquiry，31(2)，171-177。  new window
27.Hamilton, J. D.(1996)。Specification Testing in Markov-Switching Time-Series Models。Journal of Econometrics，70，127-157。  new window
28.林金龍、陳仕偉(2000)。臺灣景氣循環之探討：變動移轉機率馬可夫轉換模型之應用。經濟論文，28(1)，17-42。  延伸查詢new window
29.Filardo, Andrew J.(1994)。Business-cycle Phases and Their Transitional Dynamics。Journal of Business & Economic Statistics，12(3)，299-308。  new window
30.Newey, Whitney K.(1985)。Maximum Likelihood Specification Testing and Conditional Moment Tests。Econometrica，53(5)，1047-1070。  new window
31.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
32.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
33.Mizon, Grayham E.、Richard, Jean-Francois(1986)。The Encompassing Principle and Its Application to Testing Non-nested Hypotheses。Econometrica，54(3)，657-678。  new window
34.Kehoe, P. J.、Backus, D. K.(1992)。International Evidence on the Historical Properties of Business Cycles。The American Economic Review，82(4)，864-888。  new window
35.Potter, Simon、Chauvet, Marcelle(2001)。Recent Changes in the US Business Cycle。The Manchester School，69(5)，481-508。  new window
36.Karras, Georgios、Song, Frank(1996)。Sources of Business-cycle Volatility: An Exploratory Study on a Sample of OECD Countries。Journal of Macroeconomics，18(4)，621-637。  new window
37.Kim, Chang-Jin、Nelson, Charles. R.(1999)。Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-switching Model of the Business Cycle。The Review of Economics and Statistics，81(4)，608-616。  new window
38.Kneller, Richard、Young, Garry(2001)。Business Cycle Volatility, Uncertainty and Long-run Growth。The Manchester School，69(5)，534-552。  new window
39.Altman, Morris(1995)。Business Cycle Volatility and Economic Growth: The Historical Record, 1870-1986。Journal of Post Keynesian Economics，17(4)，561-577。  new window
會議論文
1.Cox, D. R.(1961)。Tests of Separate Families of Hypotheses。Berkeley, CA。105-123。  new window
2.Watson, Mark W.、Stock, James H.(2003)。Has the Business Cycle Changed and Why?。0：National Bureau of Economic Research。9-56。  new window
研究報告
1.Terrones, Marco E.、Prasad, Eswar S.、Kose, M. Ayhan(2003)。Volatility and Comovement in a Globalized World Economy: An Empirical Exploration。0。  new window
2.Van Dijk, Dick、Sensier, Marianne(2001)。Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series。0。  new window
3.Watson, Mark W.、Stock, James H.(2003)。Understanding Changes in International Business Cycle Dynamics。0。  new window
學位論文
1.謝志昇(2004)。狀態變換時間序列模型的比較：臺灣實質GNP年成長率的實證研究，0。  延伸查詢new window
圖書
1.Krolzig, Hans-Martin(1997)。Markov-switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis。Springer-Verlag。  new window
2.Granger, C. W. J.、Teräsvirta, T.(1993)。Modelling Nonlinear Economic Relationships。Oxford：Oxford University Press。  new window
3.Hamilton, James D.(1994)。Time Series Analysis。Princeton University Press。  new window
4.Kim, C. J.、Nelson, C. R.(1999)。State-space models with regime switching: classical and gibbs sampling approaches with applications。MIT Press。  new window
5.Summers, Lawrence H.、DeLong, J. Bradford(1986)。Are Business Cycles Symmetrical?。The American Business Cycle: Continuity and Change。Chicago, IL。  new window
其他
1.(2001)。中華民國臺灣地區國民所得按季統計，臺北市。  延伸查詢new window
2.陳仕偉(2005)。景氣波動變異對景氣轉折點認定之影響：跨國的實證研究，0。new window  延伸查詢new window
圖書論文
1.Tong, Howell(1978)。On a Threshold Model。Pattern Recognition and Signal Processing。Sijthoff & Noordhoff。  new window
 
 
 
 
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