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The Application of Random Coefficient Estimation Model to Analyze the Money Demand Function in Taiwan
|關鍵字:||Time-varying;隨機係數模型;Random coefficient||出版社:||應用經濟學系所||引用:||References Almon, S. 1965. “The distributed lag between capital appropriations and expenditures.” Econometrica 33, 178-196. Baumol, W. 1952. “The transaction's demand for cash: an inventory theoretic approach.” Quarterly Journal of Economics 56, 545-556. Brissimis, S., Hondroyiannis, G., Swamy, P.A.V.B. and G.S. Tavlas., 1999. “Estimating the demand for money in Greece: A comparison of the vector error correction and random coefficient approaches,” presented at the 1999 Project Link Meeting held in Athens. Chang, C.I., 1989. “ The empirical study of money demand function in Taiwan.” Tam-Kang University, Taipei. (in Chinese) Chang, I.L., Swamy, P.A.V.B., Hallahan, C.and G.S. Tavlas, 2000. “A computational approach to finding causal economic laws,” Computational Economics 16, 105-36. Cheng, Y. and Y. 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Wu, C.S. and J.L. Lin, 2002. “A study on time-varying investment functions for Taiwan economy.” Institute of Economics, Academia Sinica, Taipei. Wu, C.S., Lin, J.L., and G..C. Tiao., 2005. “Is money demand in Taiwan stable?” Economic Modelling 22, 327-46. Wu, J.J. 2006. “ The research for stability of money demand in Taiwan.” Quarterly Journal of Central Bank 28:3, 5-48. (in Chinese)||摘要:||
This article investigates the time-varying behaviors and the performance of prediction of money demand in Taiwan over the period from 1982Q1 to 2006Q4, and uses random coefficient estimation procedure to relax some restrictions of previous work, such as the correction of excluded and included variables being insignificant, the true form unknown, an error term added into equation to find the stochastic law, and errors in the measurement of variables insignificant. In particular, this article is the first study using random coefficient model to estimate the demand on money in Taiwan. First, the results indicate that the values of elasticity in our research are different from those of the others significantly because of the use of concomitants. Second, by observing the time varying-behavior of coefficients, we find some specific points in our time profile of coefficients with which we can draw the real event occurred in Taiwan in 1989, 1997, and 2001. Finally, the predictable values through the time intervals and different specifications are compared, and it is found that we should adopt a different specification of random coefficient model to estimate each interval.
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