結構變動時間序列分析-EViews和 R的實做課程大綱

Structural Change Time Series Analysis with Eviews and R

1.適合族群:有時間序列理論基本認識的學習者

2.課程目標:用EViewsR語言來處理資料並能解讀報表

3.授課講師-何宗武顧問介紹請按此

4..授課方式:理論講授與實機操作並用,一人一機

5.使用軟體:EViewsR語言

6.上課時數證書為16小時

第一天:結構變動時間序列分析-EViews R的實做

時間

主題

3小時

1. 傳統結構變動模型:結構點已知 (Chow, ...)

2. 新近結構變動模型:結構點未知(Bai-Perron, ...)

3小時

3. 多變量結構變動:Structural Change VAR

2小時

自由練習與討論

第二天:結構變動時間序列分析-EViews R的實做

3小時

4. 結構變動之單根與共整:Structural Change VECM

3小時

5. 結構變動分量迴歸(不定)Structural Change Quantile Regression

2小時

自由練習與討論

 本研習重點放在現行研究議題文獻的實質進行上,將講習主題與研究議題結合,希望學員在學習方法之後,可以馬上和現行研究整合,做出與關鍵文獻方向相符的貢獻。附上7篇論文,請學員自行 download 準備。

參考文獻

1.Amalia Morales-Zumaquero and Simon Sosvilla-Rivero (2010) Structural breaks in volatility: Evidence for the OECD and non-OECD real exchange rates. Journal of International Money and Finance, 29:139–168

2.Arghyroua M. G., Andros G., and Alexandros Kontonikasc(2009) Do real interest rates converge? Evidence from the European union. Int. Fin. Markets, Inst. and Money, 19 : 447–460.

3.Choi K. and Eric Zivot (2007) Long memory and structural changes in the forward discount: An empirical investigation.Journal of International Money and Finance, 26: 342-363

4.Clarida, R. and Taylor, M.P. (1997) The term structure of forward exchange premiums and the forecastability
of spot exchange rates: Correcting the errors. 
Review of Economics and Statistics79: 353–361.

5.Ferreira Alex Luiz and Miguel A. Leon-Ledesma (2007) Does the real interest parity hypothesis hold?
Evidence for developed and emerging markets.  
Journal of International Money and Finance, 26:364-382

6.Lee B. S and Rui O. M. (2002) The dynamic relationship between stock returns and trading volume: domestic and cross-country evidence.  Journal of Banking and Finance, 26:51-78.

7.Rapacha D. E. and Woharb M. E. (2002) Testing the monetary model of exchange rate
determination: new evidence from a century of data. 
Journal of International Economics, 58: 359–385.