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標題: | 以隨機係數估計模型分析台灣的貨幣需求函數 The Application of Random Coefficient Estimation Model to Analyze the Money Demand Function in Taiwan |

作者: | 張安興 Chang, An-Xing |

關鍵字: | Time-varying;隨機係數模型;Random coefficient |

出版社: | 應用經濟學系所 |

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(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. |

URI: | http://hdl.handle.net/11455/28019 |

其他識別: | U0005-2708200714013600 |

Appears in Collections: | 應用經濟學系 |

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