STOCHASTIC OR DETERMINISTIC TRENDS？THE INFLUENCE OF STRUCTURAL BREAK FOR TAIWAN’S GDP TIME SERIES
碩士 === 國立中央大學 === 產業經濟研究所碩士在職專班 === 95 === The purpose of this research investigates the influence between stochastic and deterministic trends on Taiwan’s GDP annual data, exploring the implications of structural break for macroeconomic fluctuations. This paper applies the models of Perron (1989 ) a...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/87955064230452615807 |
| Summary: | 碩士 === 國立中央大學 === 產業經濟研究所碩士在職專班 === 95 === The purpose of this research investigates the influence between stochastic and deterministic trends on Taiwan’s GDP annual data, exploring the implications of structural break for macroeconomic fluctuations.
This paper applies the models of Perron (1989 ) and Zivot & Andrews (1992 ) to construct the simulation sample of Taiwan real GDP annual data from 1951 to 2006, reviewing the distribution type of the value of unit root test by first forming the best adaptable models, then using sample simulation process to identifying the test statistics.
The empirical results show that Taiwan GDP time series could not reject the existence of unit root and that it is indeed influenced by structural breaks.
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