《金融计量学》习题及习题答案.doc

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1、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《FinancialEconometrics》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Part1TermExplanation（20marks）1．WhiteNoise2．RandomWalk3．AkaikeInformationCriterion4．Jarque-BeraStatistic5．ChowTestImportantPoint：1．WhiteNoise：WhiteNoiseisthespecialcaseofstationarystochasticprocess.

2、Wecallastochasticprocesspurelyrandomorwhitenoiseifithaszeromean,constantvarianceandisseriallyuncorrelated.2．RandomWalk:Randomwalkmeansthatthestochasticprocessisnonstationaryandvalueofthisperiodishighlyrelatedtothepastvalues.Forexample,thestockpricetodaymayequaltheyesterday’spriceplusarandomshock.R

3、andomwalkwithoutdriftcanbeexpressedas3．AkaikeInformationCriterion:AICprovideawaytoselectthebetterregressionmodelamongseveralmodelsbycomparingtheirforecastperformance.ThelowertheAIC,thebettertheforecastperformancewillbe.AICwillalsobeusedtodeterminethelaglengthinARDLapproach.4．Jarque-BeraStatistic:T

4、heJarque-Beratestisthetestofnormality.Wefirstcalculatetheskewnessandthekurtosis,anditisalsobasedontheresidualoftheregression.TheJarque-BeraStatistic=,whereSistheskewnessandKisthe25kurtosis,nissamplesize,andfornormaldistribution,S=0,K=3,ifJBstatisticisnotsignificantlydifferentfromzero,pvalueisquite

5、low,werejectthenullhypothesisthattheresidualisnormallydistributed.5．ChowTest:Thetestofstructuralchangeoftheregression.Theestimateoftheparameteroftheregressionmaynotretainthesamethroughtheentiretimeperiod;weusetheChowtesttotestwhethertherelationshipisstableandfindthebreakpoint.ItdeveloptheFstatisti

6、cs=,thenullhypothesisistheregressionisstable.Part2Explainmainpurpose(s)ofconstructingfollowingtwomodelsandmakingcommentsontheempiricalresults.(25marks)1.GregoryChow(1966)whereM=naturallogarithmoftotalmoneystockYp=naturallogarithmofpermanentincomeY=naturallogarithmofcurrentincomeR=naturallogarithmo

7、frateofinterest2.TaylorandNewhouse(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