Lee, Ying, and Wang (2007) 推導出一套針對兩個共積模型的配適能力做比較的檢定。文中假設兩共積模型的干擾項在跨期具有Mixingale 性質的相依關係, 但此兩組數據彼此間不存在相關性。在此假設下討論兩模型的共積干擾項的變異數是否有顯著較小的情形, 若有一共積模型干擾項的變異數顯著較小,則此模型配適能力較高。本文放寬原文不存在相關性的假設, 並運用Kiefer, Vogelsang, and Bunzel (2000) (KVB 法) 所提出之方法, 繞過共變異矩陣的一致性估計問題, 建立新的穩健的(Robust) 檢定統計式。

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第1章 緒論 ............................................................................1
第1.1節 研究目的 .................................................................1
第1.2節 文獻回顧 .................................................................3
第2章 計量方法 ....................................................................6
第2.1節 模型設定..................................................................6
第2.2節 共積模型配適檢定..................................................8
第2.3節 KVB法下的檢定統計式........................................19
第2.4節 模擬檢定統計式之極限分配的臨界值表............21
第3章 實證分析 ..................................................................24
第3.1節 資料來源與處理 ...................................................25
第3.2節 單根及共積檢定 ...................................................25
第3.3節 實證結果 ...............................................................26
第4章 結論 ..........................................................................29
參考文獻 .............................................................................30
附錄A ..................................................................................33
附錄B ..................................................................................35
附錄C .................................................................................36

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