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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/24831

    Title: 以季節誤差修正模型聯合檢定理性預期與恆常所得假說
    Other Titles: Testing the Joint Hypothesis of Rational Expectations and Permanent Income Hypothesis Using a Seasonal Error Correction Model
    Authors: 黃台心
    Contributors: 淡江大學經濟學系
    Keywords: 季節共整合;恆常所得假說;理性預期;誤差修正模型;Permanent income hypothesis;Rational expectations;Seasonal cointegration
    Date: 1999-03
    Issue Date: 2009-11-30 18:38:48 (UTC+8)
    Publisher: 中央研究院經濟研究所
    Abstract: 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恆常所得假說,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。
    Relation: 經濟論文 27(1),頁 127-163
    Appears in Collections:[經濟學系暨研究所] 期刊論文

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