INTROD的UCTION(Financial Econometrics.pptVIP

FINANCIAL ECONOMETRICS Feb.17, 2003 INTRODUCTION Contents 1. Models,Data and Process The nature of the econometric approach The Process of an econometric analysis 2. Applications of Financial Econometrics Dynamic effects of various shocks Empirical finance Refining data 3. Key Features of Financial Econometrics The regression model Time series models Dynamic model Others 4. Text and Software Text Software 1. MODELS, DATA AND PROCESS The Nature of The Econometric Approach structural analysis evaluation forecasting The Process of An Empirical Analysis model specification structural equations and reduced forms parameters conditions sampling and refining data Identification and estimation statistical test economic interpretation Structural Analysis Econometric Model Linear model Greene (2000) Nonlinear model* Davidson Mackinnon (1993) ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? Static model Time series model Enders （1995）Mills(1999) Dynamic model Christian Gourieroux (1997) Structure Change （Maddala and Kim,1998) Chow test Time-varying parameters Evaluation The Simulation Approach Identification Limited-information estimation Full-information estimation Monte Carlo studies Other Approaches The Instruments-targets approach The Social-welfare-function approach Forecasting Forecasting Methods Sample information Economic theory Introduction to Forecasting Techniques Time series model (ARIMA,GARCH,KALMAN-filter) Statistical model (Monte Carlo techniques,MSFE) Data and Refining Type Quantitative versus qualitative data Time-series versus cross-section data (Panel Data) Non-experimental versus experimental data Micro versus macro data Nature Degrees of freedom Multicollinearity Serial correlation Structural change Errors in measurement Non-stationary (trends, seasonality) Non-linearity Source IMF international financial statistics (CD-ROM) 2. APPLICATIONS OF FINANCIAL ECONOMETRICS Dynamic Effects