以季節誤差修正模型聯合檢定理性預期與恆常所得假說__臺灣人文及社會科學引文索引資料庫

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題名：	以季節誤差修正模型聯合檢定理性預期與恆常所得假說
書刊名：	經濟論文
作者：	黃臺心
作者(外文)：	Huang, Tai-hsin
出版日期：	1999
卷期：	27:1
頁次：	頁127-163
主題關鍵詞：	季節共整合；誤差修正模型；理性預期；恆常所得假說；Seasonal cointegration；Rational expectations；Permanent income hypothesis
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:0 共同引用:22 點閱:229

　　　　　本研究使用原始未經季節調整的資料，在消費方程式中，放入所得與失業率二變數的可預測和不可預測二部分，以新近發展之季節共整合與季節誤差修正模型，處理在季節頻率上的隨機季節因素後，推導出聯合檢定虛無假設為理性預期與�痡`所得假說，同時成立的跨式限制式以Wald test進行檢驗，即使在10%顯著水準下，仍然接受此虛無假設。本研究另以相同資料和檢定方法，但以一般共整合與誤差修正模型，推導出聯合檢定的跨式限制式，同樣以Wald test加以檢定，結果拒絕此虛無假設，由此證明使用季節模型的重要性。

以文找文

　　　　　This paper applies a procedure based on seasonal cointegration with seasonally unadjusted data from Taiwan to test joint hypothesis of rational expectations and permanent income hypothesis. The test cannot be rejected at even a 10% level of significance. However, using a procedure based on non- seasonal cointegration, the same joint hypothesis is rejected at the 5% level. This may be attributed to the fact that the latter procedure ignores completely the possible integration and cointegration at all seasonal frequencies, which leads to a specification error.

以文找文

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