1、1White Noise2RandomWalk3Akaike Information Criterion4Jarque-Bera Statistic5Chow TestImportant Point:1White Noise:White Noise is the special case of stationary stochastic process. We call a stochastic process purely random or white noise if it has zero mean, constant variance and is serially uncorrel
2、ated.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 today may equal the yesterdays price plus a random shock. Random walk without drift can be expressed as 3Akaike Information Cri
3、terion: 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 performance will be. AIC will also be used to determine the lag length in ARDL approach.4Jarque-Bera Statistic: The Jarque-Bera tes
4、t 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 skewness and K is the kurtosis, n is sample size, and for normal distribution, S=0, K=3, if JB statistic is not significant
5、ly 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 regression. The estimate of the parameter of the regression may not retain the same through the entire time period; we use the Chow t
6、est 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 purpose(s) of constructing following two models and making comments on the empirical results. (25marks)1.Gregory Chow (1966) where
7、 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 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
8、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;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。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 on the empirical results of following two models on the basis of diagnostic tests. (25marks)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
9、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 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
10、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分上海财经大学 Financial Econometrics 课程考试卷二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
11、results. Spurious regression often shows a significant relationship between variables, but 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.3Du
12、rbin-Watson StatisticThe Durbin-Watson statistic is a test for first-order serial correlation. 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 s
13、tatistic will be around 2. 4Schwarz CriterionIt is defined as:,imposing a penalty for adding 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)2 Taylor and Newhouse (1969)Part
14、 3.1 Make comments on the following two share price indexes using descriptive statistics including Jaque-Bera statistic. SHA stands for Shanghai stock market share price index and SZA stands for Shenzhen stock market share price index(10marks)1. 要求按照所给出的统计结果予以解释和比对(10分);2. 特别要求依据Jaque-Bera statistic
15、的结果对上海和深圳股市予以说明(5分)。Part 3.2 Please find any mistakes related to the Granger-causality test of SHA and SZA in the table below and correct mistakes. (15 marks)Pairwise Granger Causality TestsSample: 2/01/1992 31/12/1999Lags: 2 Null Hypothesis:ObsF-StatisticProbability SZA does not Granger Cause SHA18
16、88 4.15304 0.01586 SHA does not Granger Cause SZA 1.86122 0.15577主要错误如下:1 时间序列数据未作平稳性检验(5分);2 漏做协整检验(5分);3 因果检验的阶数选择存在问题(5分)Part 4 Questions(30 marks)1Explain the features of dummy variable technique used to test the structural change of function (5 marks)Ans:The dummy variable technique can tell us
17、 if it results from change in intercept, or change in slope or both when the structural change does occur.2Explain the Granger representation theorem and features of ECM (10 marks)The Granger representation theorem:if two variables Y and X are cointergated, then the relationship between the two can
18、be expressed as ECM, the error correction mechanism ( 5 marks);Features of ECM:A distinctive feature of the model is that the ECM has both long run and short run properties built into it. (5 marks)3. What are the main implications of CAPM? What is the Fama-MacBeth Approach? (15marks)CAPM:The essence
19、 of CAPM is that the expected return on any asset is a positive linear function of its beta and that beta is the only measure of risk needed to explain the cross-section of expected returns ( 5 marks);the Fama-MacBeth Approach:The basic idea of the approach is the use of a time series (first pass) r
20、egression to estimate betas (5 marks)and the use of a crosssectional (second pass) regression to test the hypothesis derived from the CAPM(5marks). 上海财经大学 金融计量学 课程考试卷三参考评分标准一.。 基本概念 (30 分)1白噪声2随机游走3AIC准则4Jarque-Bera统计量5ECM模型6协整本题评分要点:要求基本概念清楚答题切题简练1白噪声:均值为零方差为常数,且协方差为零的一个随机过程2随机游走:不平稳的时间序列3AIC准则:一个用
21、于检验模型拟合优度的检验量,也可用于判断自回归模型的滞后阶数。最好能写出该检验量的构造。4JB统计量:用于检验变量是否符合正态分布。最好能写出该检验量的构造以及原假设。5ECM模型:写出模型的构造并必须对Ut-1 的特征予以说明6协整:是两个或两个以上不平稳的变量之间可以构成一个平稳的线性组合。最好能说明协整的经济含义。二 试对下列两有关货币需求函数的模型结果予以解释和评判。(20分)注1:简要回答他们各自的建模理念 建模结果以及存在的问题注2:模型括号内的数值为标准误(standard error)2 Taylor and Newhouse (1969) 8分专业词汇表达错误将被少量扣分三
22、试对下列模型结果予以解释和评判。图一说明这是采用美国数据检验Cobb-Douglas生产函数 (2分)图二说明由于将非线性函数硬性地线性拟合,所以模型诊断结果(四个子诊断结果)不理想 (8分)图三说明通过对数转换,符合Cobb-Douglas生产函数的经济学原理,模型结果(四个子诊断结果)明显好于图二的结果 (10分)四简述题(30分)1简述ADF检验的基本原理和在Eviews中的操作步骤(6)2简述Fama-MacBeth Approach 检验CAPM的主要步骤 (8)3简述AEG两步法案(8)4简述Box-Jenkins方法论(8分)ADF的基本原理 (3分),描述操作过程 (3)Fam
23、a-MacBeth Approach的两步过程要求陈述清楚,(4分)以及该方法的目的,即要准备检验的CAPM的三大假设 (4分)3AEG检验分为两步,每步4分4Box-Jenkins方法论一共有四个组成部分,每部分得2分。上海财经大学 金融计量学 课程考试卷四一.名词解释 (30 分)1伪回归2Q统计量3Durbin-Watson统计量4调整后的拟合优度5随机游走模型6ARIMA模型1 要说明伪回归的成因和后果。2 说明Q统计量的用途3 对DW统计量要说明用途,最好补充说明DW统计量的特点(如存在盲区)4 要说明为什么要对拟合优度进行调整,也就是调整后的拟合优度的优点5 描述随机游走的特征。最好辅以模型表达6 说明ARIMA模型的特征,最好辅以模型表达二、试对下列两有关货币需求函数的模型结果予以解释和评判。三试对下列模型结果予以解释和评判。(25分)1SHA代表上海股市指数而SZA代表深圳股市指数,请解释下图所示的上海股指和深圳股指的描述性统计量(包括Jaque-Bera统计量)。2 下列结果为在Eviews中采用SHA和SZA进行Granger因果检验的结果。请指出错误之处并给出该项检验的正确步骤。Date: 04/24/06 Time: 16:281根据Eviews提供的图形和描述性统计结果,说明两地股市不呈正态分
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