金融计量学习题及习题答案上海财经大学.docx

1、金融计量学习题及习题答案上海财经大学 上海财经大学 Financial Econometrics 课程考试卷一课程代码 课程序号 姓名 学号 班级 题号一二三四五六七八九十总分得分Part 1 Term Explanation （20 marks）1White Noise2RandomWalk3Akaike Information Criterion4Jarque-Bera Statistic5Chow TestImportant Point：1White Noise：White Noise is the special case of stationary stochastic proces

2、s. We call a stochastic process purely random or white noise if it has zero mean, constant variance and is serially uncorrelated.2RandomWalk: Random walk means that the stochastic process is nonstationary and value of this period is highly related to the past values. For example, the stock price tod

3、ay may equal the yesterdays price plus a random shock. Random walk without drift can be expressed as 3Akaike Information Criterion: AIC provide a way to select the better regression model among several models by comparing their forecast performance. The lower the AIC, the better the forecast perform

4、ance will be. AIC will also be used to determine the lag length in ARDL approach.4Jarque-Bera Statistic: The Jarque-Bera test is the test of normality. We first calculate the skewness and the kurtosis, and it is also based on the residual of the regression. The Jarque-Bera Statistic=, where S is the

5、 skewness and K is the kurtosis, n is sample size, and for normal distribution, S=0, K=3, if JB statistic is not significantly different from zero, p value is quite low, we reject the null hypothesis that the residual is normally distributed.5Chow Test: The test of structural change of the regressio

6、n. The estimate of the parameter of the regression may not retain the same through the entire time period; we use the Chow test to test whether the relationship is stable and find the break point. It develop theF statistics=, the null hypothesis is the regression is stable.Part 2 Explain main purpos

7、e(s) of constructing following two models and making comments on the empirical results. (25marks)1.Gregory Chow (1966) where M = natural logarithm of total money stock Yp = natural logarithm of permanent income Y = natural logarithm of current income R = natural logarithm of rate of interest2.Taylor

8、 and Newhouse (1969)本题答题要点：1。模型一的建模理念是准备检验凯恩斯和弗里德曼德货币需求理论，根据t统计量的结果，模型并没有能明确说明支持或拒绝哪种理论； 10分2。模型二也是准备检验凯恩斯和弗里德曼德货币需求理论，根据t统计量的结果，模型明确说明支持凯恩斯货币需求理论并拒绝弗里德曼德货币需求理论； 10分3。模型二的特色之一是引入因变量的前一期做为自变量； 2分4。两个模型都存在伪回归的嫌疑。 2分5。专业英语词汇表达错误将被少量扣分。1分Part 3 Explanations of four diagnostic tests and making comments o

9、n the empirical results of following two models on the basis of diagnostic tests. （25marks）本题答题要点：1 分别对四个诊断检验予以说明 12分2 分别对两图实证结果予以判读 8分3 说明与图二相比，图一错误的根源在于将非线性的柯布道格拉斯生产函数直接线性拟合 4分4 专业英语词汇表达错误将被少量扣分1分Part 4 Prof. Milton Friedman argued that there was a positive association between inflation and money

10、supply. Please examine this argument using ECM and Granger Causality test. （30marks）1 对取过对数的变量进行平稳性检验（说明在何种显著性水平条件下的判断） 5分2 对做过差分的变量进行平稳性检验（同阶单整） 5分3 协整检验 （包括协整的意义） 5分4 ECM模型的构造和解释 7分5 Granger因果检验 （要求说明检验阶数的选择） 7分6 专业英语词汇表达错误将被少量扣分1分诚实考试吾心不虚 ，公平竞争方显实力，考试失败尚有机会 ，考试舞弊前功尽弃。上海财经大学 Financial Econometrics

11、 课程考试卷二课程代码 课程序号 姓名 学号 班级 题号一二三四五六七八九十总分得分Part 1 Term explanation （20 marks）1Spurious regressionRegression of one time series variable on one or more time series variables often can give nonsensical or spurious results. Spurious regression often shows a significant relationship between variables, bu

12、t in fact, this kind of relationship does not exist.2Q StatisticQ statistic is one of the tests of non-stationary.testing the joint hypothesis that all the up to certain lags are simultaneously equal to zero.3Durbin-Watson StatisticThe Durbin-Watson statistic is a test for first-order serial correla

13、tion. More formally, the DW statistic measures the linear association between adjacent residuals from a regression model. The Durbin-Watson is a test of the hypothesis If there is no serial correlation, the DW statistic will be around 2. 4Schwarz CriterionIt is defined as:,imposing a penalty for add

14、ing regressors to the model.Part 2 Explain the main purpose(s) of constructing the following two models and making comments on the empirical results (25marks)1 Gregory Chow (1966) where M = natural logarithm of total money stock Yp = natural logarithm of permanent income Y = natural logarithm of cur

15、rent income R = natural logarithm of rate of interest2 Taylor and Newhouse (1969)本题答题要点：1。模型一的建模理念是准备检验凯恩斯和弗里德曼德货币需求理论，根据t统计量的结果，模型并没有能明确说明支持或拒绝哪种理论； 10分2。模型二也是准备检验凯恩斯和弗里德曼德货币需求理论，根据t统计量的结果，模型明确说明支持凯恩斯货币需求理论并拒绝弗里德曼德货币需求理论； 10分3。模型二的特色之一是引入因变量的前一期做为自变量； 2分4。两个模型都存在伪回归的嫌疑。 2分5。专业英语词汇表达错误将被少量扣分。1分Part 3.1 Make comments on the following two share price indexes using descriptive statistics including Jaque-Bera statistic. SHA stands for Shanghai stock market