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研究生:馬惠茹
研究生(外文):Hui-Ru Ma
論文名稱:以折刀法減少估計式偏誤:方法與財務應用
論文名稱(外文):Reducing Estimator Bias by Jackknife: Method and Financial Application
指導教授:管中閔管中閔引用關係
口試委員:徐之強何耕宇
口試日期:2013-06-04
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2013
畢業學年度:101
語文別:中文
論文頁數:44
中文關鍵詞:偏誤估計式折刀法jackknife delete-1group jackknifeGMMJIVECIR
外文關鍵詞:bias estimatorjackknifejackknife delete-1group jackknifeGMMJIVECIR
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本篇論文介紹一種能減少估計式偏誤的方法: Quenouille (1956) 提出的折刀法 (jackknife)。我們也說明,在 GMM 的架構下,根據傳統折刀法所得到的估計式, 事實上與 Angrist, Imbens,and Krueger(1999)所介紹的折刀法工具變數估計式的作法並不相同。模擬結果顯示傳統折刀法的估計式與折刀法工具變數皆能皆能減少 GMM 估計式的偏誤,但傳統折刀法的估計式效果較好且適用範圍較為廣泛。實證結果亦支持傳統折刀法的估計式的確能減少 GMM 估計式的偏誤。

This paper introduces a bias reduction estimator method: Quenouille (1956) proposed jackknife. We also shows that in the GMM framework, according to the traditional jackknife estimator obtained, in fact, is not the same with Angrist, Imbens, and Krueger (1999) described jackknife instrumental variables estimation approach. Simulation results show that the traditional jackknife estimation method and jackknife instrumental variables estimator both can reduce the bias of GMM estimator, but the traditional jackknife estimator has better performance and wider application. The empirical results also support the traditional jackknife estimator can indeed reduce the bias of GMM estimator.

目錄
1 前言 6
2 折刀法的概念與性質 8
2.1 Jackknife Delete-1 參數估計式 . . . . . . . . . . . . . 8
2.2 Jackknife Delete-d 參數估計式 . . . . . . . . . . . 12
2.3 Group Jackknife . . . . . . . . . . . . . . . . . . 15
3 GMM 估計方法與性質 . . . . . . . . . . . . . . . . . 17
3.1 GMM 的概念與性質 . . . . . . . . . . . . . . . . . . 18
3.2 GMM 估計方法 .. . . . . . . . . . . . . . . . . . . . 20
3.3 財務模型的應用 . . . . . . . . . . . . . . . . . . . . 24
3.3.1 隨機波動模型 . . . . . . . .. . . . . . . . . . . . . 25
3.3.2 消費為基礎下的資本資產定價模型 . . . . . . . . . . . . . 28
3.3.3 利率期限結構模型 . . . . . . . . . . . . . . . . . . . 31
4 GMM-Jackknife . . . . . . . . . . . . . . . . . . . 32
4.1 工具變數估計式 . . . . . . . . . . . . . . . . . . . . 33
4.2 JIVE 工具變數 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
4.3 Jackknife Delete-1 與 Group Jackknife 工具變數 . 37
5 模擬研究 38
45.1 模擬的模型設計 . . . . . . . . . . . . . . . . . . . . 38
5.2 模擬結果 . . . . . . . . . . . . . .. . . . . 41
6 實證分析 43
6.1 模型與資料的選取 .. . . . . . . . . . . . . . . . . 43
6.2 實證結果與討論 . . . . . . . . . . . . . . . . 44
7 結論 45

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