2019-08-012024-05-18https://scholars.lib.ntu.edu.tw/handle/123456789/709804摘要：我們預計在此計畫中，以兩階段的方法建構經濟曲線的函數時間序列模型。(常見的經濟曲線包含不同到期日下的公債殖利率曲線、不同年齡下的出生或死亡率曲線以及不同時間下的電力需求函數等。）在第一個階段，我們以固定的基準函數對特定時點下之經濟曲線進行維度簡化之近似。在第二個階段，我們以多變量時間序列模型刻畫第一階段基準函數之因時而異之係數序列與其它解釋變數序列的動態結構。我們並在計畫書中，比較此模型與文獻中在類似架構下已有之既有模型的差異，提出兩階段的參數估計方法，討論如何建構此估計方法的大樣本性質與如何建構 基準函數的選擇檢定，並討論此計畫未來的研究工作。<br> Abstract: In this project, we plan to propose a two-step approach to establish a functional time series model for economic curves which is simple for implementation and flexible for empirical applications. (Examples of economic curve include the yield curve of government bonds with different maturities, the mortality-rate function of age and the daily electricity-demand function of time.) In the first step, we approximate the economic curve at each point in time using a set of timeinvariant basis functions for dimension reduction. In the second step, we characterize the dependence structure of the first-step time-varying parameters and a set of explanatory variables using a multivariate time-series model. In this proposal, we also compare the proposed model with existing models developed in related contexts, provide a two-step estimation method for the proposed model, illustrate how to explore the asymptotic properties of the estimators and how to establish a model selection test for the choice of basis functions, and discuss future works of this research project.經濟曲線函數時間序列分析殖利率曲線。Economic curvefunctional time series analysisyield curve.