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There are numerous examples of instances where this may arise, for example where we want to model: Why firms choose to list their shares on the NASDAQ rather than the NYSE Why some stocks pay dividends while others do not What factors affect whether countries default on their sovereign debt Why some firms choose to issue new stock to finance an...

49 trang | Chia sẻ: thuychi16 | Ngày: 22/01/2019 | Lượt xem: 909 | Lượt tải: 0

Panel data, also known as longitudinal data, have both time series and cross-sectional dimensions. They arise when we measure the same collection of people or objects over a period of time. Econometrically, the setup i where yit is the dependent variable,  is the intercept term,  is a k  1 vector of parameters to be estimated on the explanat...

49 trang | Chia sẻ: thuychi16 | Ngày: 22/01/2019 | Lượt xem: 801 | Lượt tải: 0

Motivation: Episodic nature of economic and financial variables. What might cause these fundamental changes in behaviour? - Wars - Financial panics - Significant changes in government policy - Changes in market microstructure - e.g. big bang - Changes in market sentiment - Market rigidities  Switches can be one-off single changes or ...

33 trang | Chia sẻ: thuychi16 | Ngày: 22/01/2019 | Lượt xem: 850 | Lượt tải: 0

Motivation: the linear structural (and time series) models cannot explain a number of important features common to much financial data - leptokurtosis - volatility clustering or volatility pooling - leverage effects Our “traditional” structural model could be something like: yt = 1 + 2x2t + . + kxkt + ut, or more compactly y = X + u  ...

85 trang | Chia sẻ: thuychi16 | Ngày: 22/01/2019 | Lượt xem: 795 | Lượt tải: 0

The stationarity or otherwise of a series can strongly influence its behaviour and properties - e.g. persistence of shocks will be infinite for nonstationary series Spurious regressions. If two variables are trending over time, a regression of one on the other could have a high R2 even if the two are totally unrelated If the variables in the regr...

82 trang | Chia sẻ: thuychi16 | Ngày: 22/01/2019 | Lượt xem: 791 | Lượt tải: 0

All the models we have looked at thus far have been single equations models of the form y = X + u All of the variables contained in the X matrix are assumed to be EXOGENOUS. y is an ENDOGENOUS variable. An example from economics to illustrate - the demand and supply of a good:   (1) (2) (3)  where = quantity of the good demanded = qua...

55 trang | Chia sẻ: thuychi16 | Ngày: 22/01/2019 | Lượt xem: 830 | Lượt tải: 0

Where we attempt to predict returns using only information contained in their past values. Some Notation and Concepts A Strictly Stationary Process A strictly stationary process is one where i.e. the probability measure for the sequence {yt} is the same as that for {yt+m}  m. A Weakly Stationary Process If a series satisfies the next three ...

62 trang | Chia sẻ: thuychi16 | Ngày: 22/01/2019 | Lượt xem: 781 | Lượt tải: 0

Recall that we assumed of the CLRM disturbance terms: 1. E(ut) = 0 2. Var(ut) = 2 <  3. Cov (ui,uj) = 0 4. The X matrix is non-stochastic or fixed in repeated samples 5. ut  N(0,2)

71 trang | Chia sẻ: thuychi16 | Ngày: 22/01/2019 | Lượt xem: 861 | Lượt tải: 0

Before, we have used the model t = 1,2,.,T But what if our dependent (y) variable depends on more than one independent variable? For example the number of cars sold might plausibly depend on 1. the price of cars 2. the price of public transport 3. the price of petrol 4. the extent of the public’s concern about global warming Similar...

52 trang | Chia sẻ: thuychi16 | Ngày: 22/01/2019 | Lượt xem: 848 | Lượt tải: 0

Regression is probably the single most important tool at the econometrician’s disposal. But what is regression analysis? It is concerned with describing and evaluating the relationship between a given variable (usually called the dependent variable) and one or more other variables (usually known as the independent variable(s)).

80 trang | Chia sẻ: thuychi16 | Ngày: 22/01/2019 | Lượt xem: 859 | Lượt tải: 0