淡江大学日间部Word文档下载推荐.docx
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Presentation:
15%TermPaper:
30%Participation:
10%
課程規劃:
Readingassignment
9/13Introduction(M.1;
G.1;
B.1/2)
9/20Probability,StatisticsConceptMatrixAlgebra(M.2;
G.2/3)
9/27ClassicalLinearRegressionModel(M.3;
G.6;
B.3)
10/4ClassicalMultipleLinearRegressionModel(M.4;
B.4)
10/11MLE&
Cramer-RaoBound&
MultivariateStatistics(M.3;
G.4)
10/18Heteroskedasticity(M.5;
G.12)
10/25Autocorrelation(Why"
Time-Series"
?
)(M.6;
G.13;
B.5)
11/1Well-establishedT.S.Methodologies(VARr.m.)(Ed-1/4/6;
M.13/14;
G.18;
B.2/B.7)
11/8AdvancedT.S.Methodologies(Ed-5;
M.14;
B.7)
11/15~~~~~Midterm~~~~~
11/22NewlydevelopedTimeSeriesmodels;
(UR)(Eviews4.1)&
w/SB(ZA);
(B.9)
11/29NewlydevelopedTimeSeriesmodels;
(CI)(PO,HI,JJ,KSS)&
w/SB(GH);
12/6PanelURandPanelCI(&
CI/ARDL)PSS(01);
(G.14)
12/13Threshold,PanelThresholdHansen(99);
12/20ThresholdCointegration&
TECM:
(TAR&
M-TAR)EG(98);
(Ed-7)
12/27Linearvs.Nonlinear:
(Smoothtransition:
ESTARorLSTAR)T(93);
MO(02);
(Ed-7)
1/3NonparametricsCointegration(Bierens,97)
1/10~~~~~Final~~~~~ModelingVolatility:
ARCH/GARCH/ARCH-M(Ed-3;
B.8)
教學內容及進度:
(下)
發表次
日期
內容
ReadingAssignment
(1)
9:
10~
12:
00
11/1
Instruction;
ResearchMethodologies;
Why"
(Autocorrelation);
(TraditionalVS.T.S.model);
Enders(2004);
Brooks(2002)
~~~Handout~~~
Dataimport:
"
E-Views5.0”,”Rats5.0”,“Gauss6.0”&
"
Microfit4.0"
(2)
11/8
Well-establishedT.S.Methodologies;
VAR&
DifferenceEquation;
Lagselection;
Stationarity&
Unit-Root;
Cointegration&
VECM;
Grangercausality;
ImpulseResponse&
VarianceDecomposition=>
Computer:
Running"
E-Views"
DickeyandFuller(1981)
EngleandGranger(1987)
Johansen(1988,1990,1994)
NiehandLee(2001);
Nieh(2002);
聶&
周(2002)
(3)
11/22
NewlydevelopedTimeSeriesmodels;
(UnitRoots)
UR(KPSS,ERS&
NP)(KSS);
UR/StructuralBreak(ZA)
=>
&
“RATS”
Kapetanios,ShinandSnell(2003a)
Liew,BaharumshahandChong(2003)
Hasan(2003)//
ZivotandAndrew(1992)
NiehandYau(2004)
(4)
11/29
(Cointegration)
CI(PO,HI,JJ,KSS);
CI/Str.Break(GH)
ComputerRunning"
GAUSS"
Kapetanios,ShinandSnell(2003b)
ChangandNieh(2004)//
GregoryandHansen(1996)
Granger,HuangandYang(2000)
FountasandWu(1998);
聶(2004)
(5)
12/6
AdvancedT.S.Methodologies;
G-IRF&
G-VDC(PS);
CI/ARDL(PSS);
(PanelUnit-Root&
PanelCointegration)Banerjee(1999)
ComputerRunning:
Microfit"
PesaranandShin(1998);
Ewing(2003)
HackerandHatemi-J(2003)//
Pesaran,ShinandSmith(2001)Bahmani-OskooeeandKara(2000);
ADE(2001);
VA(2002);
NarayanandSmyth(2004)
Nieh&
Wang(2005);
聶&
周(2005)
(6)
12/13
PanelThreshold;
Estimation,Hypothesis,Testing…
TimeStructuralBreaks(BaiandPerron)
Computermanipulation:
Hansen(1999);
聶劉(2003);
聶楊(2004);
聶劉(2005);
聶顏(2005)
聶張(2004);
NiehandLu(2004)
Bai&
Perron(2003);
王(2004)
(7)
12/20
ThresholdCointegration&
TAR&
M-TAR(EG)
“RATS”
Enders(2004)Ch.7
Enders&
Granger(1998);
Enders(2001);
Enders&
Siklos(2001);
DibooĞlu&
Enders(2001);
Cook(2003)
Coakley&
Fuertes(2002);
Abdulai(2002);
Bohl(2003);
Menezes,Dionisio&
Mendes(2004);
NLC(2005);
CNY(2005)
(8)
12/27
Linearvs.Nonlinear:
(Smoothtransition)
ESTARorLSTAR;
GrangerandTerä
svirta(1993);
Terä
svirta(1994,1998)
Huang,LinandCheng(2001)
MilasandOtero(2002)
Khadaroo(2003)
(9)
STECM
Woodward&
Anderson(2003)
Chang,Nieh,Yang&
Chiu(2005)
McMillan(2004)
----------------------------------------------
(10)
30~
11:
30
1/3
NonparametricsCointegration
EasyReg"
----------------------------------------------------------
UR/SST(GLS);
UR/DST(HM)
UR/Nonlinear(E)
Bierens,97
Chang,Nieh&
Chiu(2005);
Nieh(2005)
Leybourne,NewboldandVougas(1998);
Sollis,LeybourneandNewbold(1999);
Greeneaway,andSarsford(2000)//
HarveyandMills(2000);
Pattichi(2002);
Pat.andKanaan(2004)//
Eklund(2004a,2004b)
Chelley-Steeley(2004)
1/10
~~~~~FinalExam~~~~~
課前預習、課中專心、課後複習,為”成功”學習的不二法門,切實做去,則難者亦易矣!
**Paperreadingassignments:
[11/1]
<
StartingPoint:
(SpuriousRegression)>
Granger,C.W.J.andP.Newbold,"
SpuriousRegressionsinEconometrics,"
JournalofEconometrics,26,1974,111-120.
Box,G.E.P.andG.M.Jenkins,TimeSeriesAnalysis,Forecasting,andControl,SanFrancisco,CA:
Holden-Day,1976
Ljung,G.andG.Box,"
OnaMeasureofLackofFitinTimeSeriesModels,"
Biometrica,65,1978,297-303
Yule,G.U.,"
WhyDoWeSometimesGetNonsenseCorrelationsBetweenTimeSeries?
AStudyinSamplingandtheNatureofTimeSeries,"
JournaloftheRoyalStatisticalSociety,89,1926,1-64
GrangerCausality>
Cheng,B.S.,"
BeyondthePurchasing:
TestingforCointegrationandCausalitybetweenExchangeRates,Prices,andInterestRates,"
JournalofInternationalMoneyandFinance,18,1999,911-24
Granger,C.W.J.,"
InvestigatingCausalRelationsbyEconometricModelsandCross-SpectralMethods,"
Econometrica,vol.37,January1969,24-36.
______,"
TestingforCausality,"
JournalofEconomicDynamicandControl,4,1980,225-252
SomeRecentDevelopmentsinaConceptofCausality,"
JournalofEconometrics,39,1988,199-211
He,ZongluandKoichiMaekawa(2001)“OnSpuriousGrangerCausality,”EconomicsLetters,73,307-313**(GC)
UnitRoots:
>
Dickey,D.A.andW.A.Fuller,"
DistributionoftheEstimatorsforAutoregressiveTimeSerieswithaUnitRoot,"
JournaloftheAmericanStatisticalAssociation,74,1979,424-431
LikelihoodRatioStatisticsforAutoregressiveTimeSerieswithaUnitRoot,"
Econometrica,49,1981,1057-1072
Dickey,D.A.andPantula,"
DeterminingtheOrderofDifferencinginAutoregressiveProcesses,"
JournalofBusinessandEconomicStatistics,5,1987,445-461
Doldado,Juan,TimJenkinson,andSimonSosvilla-Rivero,"
CointegrationandUnitRoots,"
JournalofEconomicSurveys,4,1990,249-73
Elliott,Graham,ThomasJ.RothenbergandJamesH.Stock(1996).“EfficientTestsforanAutoregressiveUnitRoot,”Econometrica,64,1996,813-836(Eview4.1)
Kwiatkowski,Denis,PeterC.B.Phillips,PeterSchmidtandYouncheolShin,“TestingtheNullHypothesisofStationarityagainsttheAlternativeofaUnitRoot,”JournalofEconometrics,54,1992159-178(UR-NullofStationarity)(Eview4.1)
NgSerenaandPierrePerron.2001“LagLengthSelectionandtheConstructionofUnitRootTestswithGoodSizeandPower,”Econometrica,69(6),2001,1519-1554(Eview4.1)
Phillips,P.C.B.,"
TimeSeriesRegressionwithaUnitRoot,"
Econometrica,55,1987,277-301
Phillips,P.C.B.andP.Perron,"
TestingforaUnitRootinTimeSeriesRegression,"
Biometrika,75,1988,335-346
Schwert,G.W.,"
TestsforUnitRoots:
AMonteCarloInvestigation,"
JournalofBusinessandEconomicStatistics,7,1989,147-159
Zivot,E.andD.W.K.Andrews,"
FurtherEvidenceontheGreatCrash,theOilPriceShock,andtheUnitRootHypothesis,"
JournalofBusinessandEconomicStatistics,10,1992,251-270(Rats5.0)
Cointegration-(Theoretical)>
Engle,R.andC.Granger,"
Co-IntegrationandErrorCorrectionRepresentation,EstimationandTesting,"
Econometrica,55,march1987,251-267.
GregoryA.andB.Hansen,“Residual-BasedTestsforCointegrationinModelswithRegimeShifts,”JournalofEconometrics,1996,70,99-126
Johansen,S.,"
StatisticalAnalysisofCointegrationVectors,"
JournalofEconomicDynamicsandControl,12,1988,231-254.
EstimationandHypothesisTestingofCointegrationVectorsinGaussianVectorAutoregressiveModels,"
Econometrica,59,1991,1551-1580.
DeterminationofCointegrationRankinthePresenceofaLinearTrend,"
OxfordBulletinofEconomicsandStatistics,54(3),1992,383-397.
TheRoleoftheConstantandLinearTermsinCointegrationAnalysisofNonstationaryVariables,"
EconometricReviews,13
(2),1994,205-229.
Johansen,S.andK.Juselius,"
MaximumLikelihoodEstimationandInferenceonCointegrationwithApplicationstotheDemandforMoney,"
OxfordBulletinofEconomicsandStatistics,52,1990,169-210.
TestingStructuralHypothesesinaMultivariateCointegrationAnalysisofthePPPandtheUIPfortheUK,"
JournalofEconometrics,53,1992,211-244.
Shin,Youncheol(1994)“AResidual-BasedTestoftheNullofCointegrationagainsttheAlternativeofNoCointegration,”EconometricTheory,10,91-115
(CI-NullofCointegration)
Stock,J.H.andM.W.Watson,"
TestingforCommonTrends,"
JournaloftheAmericanStatisticalAssociation,83,1988,1097-1107.
Expansion&
Application:
(CI)>
Gonzalo,J.,"
FiveAlternat
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