《Financial Statistics and Econometrics课件》Lecture-11.pptVIP

Lecture 11Univariate time series modelling and forecasting Univariate Time Series Models What’s a structural model What’s a time series model 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 the distribution of yt1, yt2,... ytn is the same as the distribution of yt1+k,... ytn+k ? k. A Weakly Stationary Process If a series satisfies the next three equations, it is said to be weakly or covariance stationary 1. E yt ? , t 1,2,...,? 2. 3. ?s are known as autocovariances. The value of the autocovariances depend on the units of measurement of yt. It is thus more convenient to use the autocorrelations which are the autocovariances normalised by dividing by the variance: If we plot ?s against s 0,1,2,... then we obtain the autocorrelation function or correlogram. A White Noise Process A white noise process is one with virtually no discernible structure. A definition of a white noise process is Some tests for autocorrelation coefficient Tests whether one autocorrelation coefficient is significantly difference from zero by constructing a confidence interval. For example, a 95% confidence interval would be given by If the sample autocorrelation coefficient, , falls outside this region, then we reject the null hypothesis that the true value of the coefficient at lag s is zero. 2. Joint Hypothesis Tests : We can also test the joint hypothesis that all m of the ?k correlation coefficients are simultaneously equal to zero using the Q-statistic developed by Box and Pierce: where T sample size, m maximum lag length ? However, the Box Pierce test has poor small sample properties, so a variant has been developed, called the Ljung-Box statistic: Example 5.1 Question: Suppose that a researcher had estimated the first 5 autocorrelation coefficients using a series of length 100 observations, and found them to be