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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 朱家祥(Chia-Shang J. Chu) | |
| dc.contributor.author | Yu-Jian Lin | en |
| dc.contributor.author | 林宇建 | zh_TW |
| dc.date.accessioned | 2021-06-08T06:25:37Z | - |
| dc.date.copyright | 2006-07-31 | |
| dc.date.issued | 2006 | |
| dc.date.submitted | 2006-07-27 | |
| dc.identifier.citation | References
Eichengreen, Barry, Andrew K. Rose and Charles Wyplosz (1995), “Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks.” Economic policy, Vol. 21 October, pp. 249-312. Granger, C.W.J. and M.H. Pesaran (2000) “Economic and Statistical Measures of Forecast Accuracy.” Journal of Forecasting, 11, 537-560. Henriksson, Roy D. and Robert C. Merton (1981) “On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills.” Journal of Business, 54, 513-533. Kaminsky, Graciela L. and Carmen M. Reinhart (1996), “The Twin Crises: The Causes of Banking and Balance-of-Payments Problems.” International Finance Discussion Paper No. 544, Board of Governors of the Federal Reserve System, March 1996. Kaminsky, G.L., S. Lizondo and C. Reinhart (1998) “Leading Indicators of Currency Crisis.” IMF StaffPapers, 45(1), 1-48. Kedem, B., 1980, Binary Time Series. Marcel Dekker, New York. Sachs, Jdffrey D., Agron Tornell, and Andres Velasco (1996), “Financial Crises in Emerging Markets: The Lessons From 1995,” Brookings Papers on Economic Activity: 1, Brookings Institution, pp. 147-215. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/25702 | - |
| dc.description.abstract | This paper recommends the Wald test to test the “adjusted noise-to-signal ratio”. Kaminsky, Lizondo and Reinhart (1998) use “adjusted noise-to-signal ratio” to examine the effectiveness of individual indicators. However, they did not provide a formal statistical test to test whether “adjusted noise-to-signal ratio” is equal to 1. By “adjusted noise-to-signal ratio” concept, we can measure the accuracy of sequence of event forecasts. In this paper the Wald test for testing “adjusted noise-to-signal ratio” can derived under i.i.d. and Markov chain DGP’s. Besides, the sizes of the Wald test suffer very little sign of distortion. Therefore we recommend the Wald test to test the“adjusted noise-to-signal ratio”.
We also provide an empirical example in the end of this paper. The empirical data are obtained from Kaminsky and Reinhart (1996) paper, and we use the Wald test to test the “adjusted noise-to-signal ratio” of indicators. We find that 15 out of the 16 indicators are effective. Only the indicator of real interest differential is unuseful. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T06:25:37Z (GMT). No. of bitstreams: 1 ntu-95-R93323024-1.pdf: 334392 bytes, checksum: ec042e7e0197423934caf36c0ec17731 (MD5) Previous issue date: 2006 | en |
| dc.description.tableofcontents | CONTENT
1 INTRODUCTION……………………………………………4 2 MATHEMATICS………………………………………………8 2.1 ADJUSTED NOISE-TO-SIGNAL RATIO………………… 9 2.2 THE NULL HYPOTHESIS…………………………………9 2.3 THE WALD TEST OF NONLINEAR CONSTRAINT…………10 2.4 THE MULTINOMIAL DISTRIBUTION…………………… 12 3 THE WALD TEST UNDER I.I.D. BINARY TIME SERIES…14 3.1 MXIMUM LIKELIHOOD ESTIMATOR, MLE……… ………14 3.2 SIMULATION OF THE WALD TEST UNDER I.I.D. BINARY TIME SERIES…………………………………………………… …15 4 THE WALD TEST UNDER SERIAL CORRELATED BINARY TIME SERIES…………………………………………………… …18 4.1 MARKOV CHAINS…………………………………………18 4.2 SIMULATION OF THE WALD TEST UNDER THE INDIVIDUAL SERIAL CORRELATED BINARY TIME SERIES………… ……20 5 EMPIRICAL EXAMPLE………………………………………25 5.1 EMPIRICAL DATA……………………………………… 25 5.2 EMPIRICAL RESULTS……………………………………25 5.2.1 DEFINITIONS…………………………………………25 5.2.2 RESULTS………………………………………………27 6 CONCLUSION……………………………………………… 31 7 REFERENCES…………………………………… …………36 | |
| dc.language.iso | en | |
| dc.subject | 噪音比 | zh_TW |
| dc.subject | 檢定 | zh_TW |
| dc.subject | 預測能力 | zh_TW |
| dc.subject | Wald test | en |
| dc.subject | effective | en |
| dc.subject | Adjusted Noise-to-Signal Ratio | en |
| dc.title | 噪音比之檢定 | zh_TW |
| dc.title | The Wald Test for Testing “Adjusted Noise-to-Signal Ratio” | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 94-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 李顯峰(Hsien-Feng Lee),周雨田(Ray Yeutien Chou) | |
| dc.subject.keyword | 噪音比,檢定,預測能力, | zh_TW |
| dc.subject.keyword | Wald test,Adjusted Noise-to-Signal Ratio,effective, | en |
| dc.relation.page | 36 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2006-07-28 | |
| dc.contributor.author-college | 社會科學院 | zh_TW |
| dc.contributor.author-dept | 經濟學研究所 | zh_TW |
| 顯示於系所單位： | 經濟學系 | |
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