计量金融学国外课堂9.ppt

Introductory Econometrics for Finance Copyright 2002, Chris Brooks Introductory Econometrics for Finance Copyright 2002, Chris Brooks Introductory Econometrics for Finance Copyright 2002, Chris Brooks Introductory Econometrics for Finance Copyright 2002, Chris Brooks Introductory Econometrics for Finance Copyright 2002, Chris Brooks Introductory Econometrics for Finance Copyright 2002, Chris Brooks Introductory Econometrics for Finance Copyright 2002, Chris Brooks Introductory Econometrics for Finance Copyright 2002, Chris Brooks * Lecture 5a Modelling long-run relationships in finance Topics Covered Today Stationarity Unit Root tests Cointegration Brooks text Book: Chapter 8 In the lab we will test a pair of candidate securities for a pairs trading strategy. MSCI Australia and Canada Indexes. Overview Non-Stationarity – a series ‘goes somewhere’ Cointegration – two series are both non-stationary ‘they go somewhere’ they have a long run relationship A linear combination of the series is stationary Example – A man walking his dog /watch?v=3GRSbr0EYYU ‘Introductory Econometrics for Finance’ ? Chris Brooks 2008 Stationarity and Unit Root TestingWhy do we need to test for Non-Stationarity? 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 regression model are not stationary, then it can be proved that the standard assumptions for asymptotic analysis will not be valid. In other words, the usual “t-ratios” will not follow a t-distribution, so we cannot validly undertake hypothesis tests about the regression parameters. ‘Introductory Econometrics for Finance’ ? Chris Brooks 2008 Value of R2 for 1000 Sets of Regressions of a Non-stationary Variable on another Independent