金融计量经济学(双语版)(全套).pptVIP

Chapter 5;1 introduction;A Strictly Stationary Process A strictly stationary process is one where For any t1 ,t2 ,…, tn ∈ Z, any m ∈ Z, n=1,2,… 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. ? t1 , t2 ;So if the process is covariance stationary, all the variances are the same and all the covariances depend on the difference between t1 and t2. The moments , s = 0,1,2, ... are known as the covariance function. The covariances, ?s, are known as autocovariances.? However, 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: , s = 0,1,2, ... If we plot ?s against s=0,1,2,... then we obtain the autocorrelation function (acf) or correlogram.;A white noise process is one with no discernible structure. Thus the autocorrelation function will be zero apart from a single peak of 1 at s = 0. 如果假设yt服从标准正态分布, 则 ? approximately N(0,1/T) ? We can use this to do significance tests for the autocorrelation coefficients by constructing a confidence interval. ? a 95% confidence interval would be given by . If the sample autocorrelation coefficient, , falls outside this region for any value of s, then we reject the null hypothesis that the true value of the coefficient at lag s is zero.;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 The Q-statistic is asymptotically d