金融计量学习题及习题答案-上海财经大学

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上海财经大学《 Financial Econometrics 》课程考试卷一

课程代码 课程序号

姓名 学号 班级

Part 1 Term Explanation （20 marks ）

1．White Noise 2．RandomWalk

3．Akaike Information Criterion 4．Jarque-Bera Statistic 5．Chow Test

Important Point ：

1．White Noise ：White Noise is the special case of stationary stochastic process. We call a stochastic process purely random or white noise if it has zero mean, constant variance and is serially uncorrelated. 2．RandomWalk: Random walk means that the stochastic process is nonstationary and value of this period is highly related to the past values. For example, the stock price today may equal the yesterday ’s price plus a random shock. Random walk without drift can be expressed as t t t u y y +=-1

3．Akaike Information Criterion: AIC provide a way to select the better regression model among several models by comparing their forecast performance. The lower the AIC, the better the forecast performance will be. AIC will also be used to determine the lag length in ARDL approach.

4．Jarque-Bera Statistic: The Jarque-Bera test is the test of normality. We first calculate the skewness and the kurtosis, and it is also based on the residual of the regression.

The Jarque-Bera Statistic=)24

)3(6(2

2-+K S n , where S is the skewness and K is the kurtosis,

n is sample size, and for normal distribution, S=0, K=3, if JB statistic is not significantly different from zero, p value is quite low, we reject the null hypothesis that the residual is normally distributed.

5．Chow Test: The test of structural change of the regression. The estimate of the parameter of the regression may not retain the same through the entire time period; we use the Chow test to test whether the relationship is stable and find the break point. It develop the F statistics=

)

/(/)(k N RSS m

RSS RSS ur ur r --, the null hypothesis is the regression is stable.

Part 2 Explain main purpose(s) of constructing following two models and making comments on the empirical results. (25marks)

1.Gregory Chow (1966)

where M = natural logarithm of total money stock Yp = natural logarithm of permanent income Y = natural logarithm of current income R = natural logarithm of rate of interest

2.Taylor and Newhouse (1969)

本题答题要点：

1。模型一的建模理念是准备检验凯恩斯和弗里德曼德货币需求理论，根据t 统计量的结果，模型并没有能明确说明支持或拒绝哪种理论； 10分

2。模型二也是准备检验凯恩斯和弗里德曼德货币需求理论，根据t 统计量的结果，模型明确说明支持凯恩斯货币需求理论并拒绝弗里德曼德货币需求理论； 10分 3。模型二的特色之一是引入因变量M 的前一期1t M 做为自变量； 2分 4。两个模型都存在伪回归的嫌疑。 2分

5。专业英语词汇表达错误将被少量扣分。1分

(.0540) (.13897) (.148) 9965. 7476.01321.069.11365.ˆ2=--+=R R Y Y M t t pt

t (.0669) (.0597) (.0940) (.14284) 9988

. 5878.3325.3274.06158.3067.ˆ21

=+-++=-R M R Y Y M t t t pt t