Brooks的金融计量经济学).ppt

? Chris Brooks 2002 陈磊 2004 7-* One of the problems with the EG 2-step method is that we cannot make any inferences about the actual cointegrating regression. The Engle Yoo (EY,1987) 3-step procedure takes its first two steps from EG.? EY add a third step giving updated estimates of the cointegrating vector and its standard errors.? 由于存在针对协整关系及其假设检验的更好估计方法，E-Y方法在实证研究中很少使用。? The Engle Yoo 3-Step Method ? Chris Brooks 2002 陈磊 2004 7-* In the general case , where we have more than two variables which may be cointegrated, there could be more than one cointegrating relationship.? In fact there can be up to r linearly independent cointegrating vectors (where r ? g-1), where g is the number of variables in total. So, in the case where we just had y and x, then r can only be one or zero. And if there are others, how do we know how many there are or whether we have found the “best”?? The answer to this is to use a systems approach to cointegration which will allow determination of all r cointegrating relationships - Johansen’s method. 多个协整关系 ? Chris Brooks 2002 陈磊 2004 7-* 多个协整关系 两个非平稳变量之间最多只能有一个线性组合是平稳的,即最多只存在一个协整关系。 一个包括K个变量的非平稳系统，可以存在最多K-1个线性独立的协整关系。 前面叙述的回归方法只能发现一个协整关系。 如果存在多个协整关系，如何知道是否存在其他的协整关系？是否已经找到最“好”或最强的协整关系？ 这需要检验协整关系的系统方法。 ? Chris Brooks 2002 陈磊 2004 7-* 7 An Example : Lead-Lag Relationships between Spot and Futures Prices Background We expect changes in the spot price of a financial asset and its corresponding futures price to be perfectly contemporaneously correlated and not to be cross-autocorrelated. i.e. expect Corr(?ln(Ft), ?ln(St)) ? 1 Corr(?ln(Ft), ?ln(St-k)) ? 0 ? k Corr(?ln(Ft-j), ?ln(St)) ? 0 ? j We can test this idea by modelling the lead-lag relationship between the two. We will consider two papers Tse(1995) and Brooks et al (2001). ? Chris Brooks 2002 陈磊 2004 7-* Futures Spot Data Tse (1995): 1055 daily observations on NSA 东京证券交易所stock index and stock index futures values from December 1988 - April 1993. Brooks et al (200