Professional Documents
Culture Documents
逢甲大學財務金融系主任
張倉耀 教授
Types of Data
2 Cross-sectional data
3 Panel data
The Procedure to Analysis
Economic
Economic or
or Financial
Financial Theory
Theory
Summary
Summary Statistics
Statistics of
of Data
Data
If reject
Linear
Linear Model
Model Nonlinear
Nonlinear Model
Model
Basic Advanced
Econometric Econometric
The Procedure to Analysis
Time
Time Series
Series Data
Data
Unit
Unit Root
Root Test
Test
Non-Stationarity Staionaruty
Dickey-Fuller
Augmented DF
Orders of Integration H0: Yt ~ I(1)
The same Difference H1: Yt ~ I(0)
Phillips-Perron
VAR in
E-G DF-GLS, NP
Level
J-J ARDL
Bounding H0: Yt ~ I(0)
H-I KPSS
KPSS
Test
H1: Yt ~ I(1)
Cointegration Test
The Procedure to Analysis
Unit
Unit Root
Root Test
Test
Staionaruty
Cointegration
Cointegration Test
Test
Yes No
UECM
(Pesaran
VECM et al., VAR in
VAR in
2001) Level
differ
Model
Model Specification
Specification
The Procedure to Analysis
Model
Model Estimation
Estimation
Economic or Finance
Implication
Heteroskedastic Goodness-of-fit
ACH-LM Teat R square
Series autocorrelation
sationarity
Ljung-Box Q, Q2
CUSUM (square)
Econometric Soft Packages
Package
EViews
Rats
GAUSS
Matlab
Microfit
EasyReg
STATA
TSP
Sources of Data
DataBase Website
AREMOS http://140.111.1.22/moecc/rs/pkg/tedc/tedc1.htm
TEJ Data bank http://www.tej.com.tw/
National Statistic,
http://www.stat.gov.tw/mp.asp?mp=4
ROC
DataStream Thomson Financial DataStream
CRSP http://www.crsp.chicagogsb.edu/
http://www2.standardandpoors.com/portal/site/
Compustat sp/en/us/page.product/dataservices_compustat/
2,9,2,0,0,0,0,0,0,0,0,0,0,0,0,0.html
Example: PPP
No trend
Summary Statistics of Data
Stationary Time Series
Time Series modeling
A series is modeled only in terms of its own past values
and some disturbance.
Autoregressive, AR (1)
yt 0 1 yt ut ut ~ WN (0, 2 )
ut t t 1
Stationary Time Series
Box-Jenkins (1976) ARMA (p, q) model
yt 0 1 yt 1 p yt p ut 1ut 1 q ut q
p q
0 i yt i i u1i
i 1 i 0
i 1
i 1
Stationary Time Series
The determination of the order of an ARMA process
Autocorrelation function (ACF)
cov( yt , yt por q )
( por q)
var( yt )
( p) , p3
1 j 1 ( p 2, j pp p 2, p j ) j
p 1
Ljung-Box Q statistic
p
i2
Q( p ) T (T 2) ~ p2
i 1 T -i
Stationary Time Series
e series is AR(1)
P* = 1
Non-stationary Time Series
Autoregressive integrated moving average
(ARIMA) model
If
p
i 1
i 1 Y series is explosive
If
p
i 1
i 1 Y series has a unit root
Non-stationary Time Series
How to achieve stationary?
DSP = Difference stationary process
d 1
• Yt ~ I(1) = D yt yt yt 1 yt
d 2
• Yt ~ I(2) =D yt yt yt 1 2 yt
KPSS
iid
Yt t rt t t ~ N (0, 2 )
Non-stationary Time Series
Selection Criteria of the Lag Length
Schwartz Bayesian Criterion (SBC)
SSR k ln T
min SBC ln( ) Small sample
T T
Akaike Information Criterion (AIC)
SSR
min AIC T ln( ) 2k Big sample
T
k parameters
T observations
SSR sum of squared residuals
Non-stationary Time Series
Reject H0
Non-stationary Time Series
Name as ppp
Non-stationary Time Series
Error – Correction Model (ECM)
d d
et 0 ecmt 1 et i xt i t
i 1 i 1