Professor:FJU
Date:2022-12-11
views: 2939
  • 00:00 1.
    Analysis of Non-Stationary Time Series Data
  • 01:33 2.
    Stationarity
  • 03:58 3.
    A Nonstationary Time Series
  • 08:33 4.
    I(d)
  • 09:57 5.
    Non-Stationarity! So What?
  • 11:13 6.
    I(d)
  • 11:13 7.
    A Nonstationary Time Series
  • 11:44 8.
    I(d)
  • 11:44 9.
    Non-Stationarity! So What?
  • 11:46 10.
    I(d)
  • 11:50 11.
    Non-Stationarity! So What?
  • 12:55 12.
    I(0) vs. I(1)
  • 14:06 13.
    Non-Stationarity! So What?
  • 16:36 14.
    I(0) vs. I(1)
  • 16:41 15.
    White Noise and AR(1)
  • 18:43 16.
    Test for Unit Root
  • 22:26 17.
    Unit Root Test (1)
  • 22:32 18.
    Test for Unit Root
  • 23:09 19.
    Unit Root Test (1)
  • 26:32 20.
    Unit Root Test (2)
  • 26:56 21.
    Unit Root Test (1)
  • 27:01 22.
    Unit Root Test (2)
  • 27:28 23.
    Unit Root Test (1)
  • 27:35 24.
    Unit Root Test (2)
  • 28:18 25.
    Dickey Fuller Test
  • 29:16 26.
    Augmented Dickey Fuller Test (ADF)
  • 31:17 27.
    An Example: Expectation Theory
  • 36:12 28.
    Yields of US T-Bill Example
  • 39:58 29.
    Empirical Work
  • 42:29 30.
    Organize Data
  • 44:17 31.
    Unit Root Test
  • 45:36 32.
    linreg CHX# X1
  • 46:26 33.
    Unit Root Test
  • 46:27 34.
    Organize Data
  • 46:27 35.
    Empirical Work
  • 46:27 36.
    Yields of US T-Bill Example
  • 46:28 37.
    An Example: Expectation Theory
  • 46:28 38.
    Augmented Dickey Fuller Test (ADF)
  • 46:29 39.
    Dickey Fuller Test
  • 47:04 40.
    Augmented Dickey Fuller Test (ADF)
  • 47:05 41.
    An Example: Expectation Theory
  • 47:05 42.
    Yields of US T-Bill Example
  • 47:06 43.
    Empirical Work
  • 47:07 44.
    Organize Data
  • 47:09 45.
    Unit Root Test
  • 47:10 46.
    linreg CHX# X1
  • 47:36 47.
    linreg CHX# constant X1
  • 49:05 48.
    linreg CHX# constant X1 CHX1
  • 49:38 49.
    linreg CHY# Y1
  • 50:16 50.
    linreg CHY# constant Y1
  • 50:55 51.
    linreg CHY# constant Y1 CHY1
  • 51:11 52.
    Cointegration
  • 54:09 53.
    Testing Co-integrating Relation
  • 56:39 54.
    Slide 26
  • 59:56 55.
    Co-integration
  • 1:02:06 56.
    Engle and Granger Representation
  • 1:02:48 57.
    Engle and Granger Representation
  • 1:05:54 58.
    Engle and Granger Process
  • 1:07:33 59.
    Estimating Co-integrating Relation
  • 1:08:45 60.
    Engle-Granger Test for Unit Root
  • 1:11:03 61.
    linreg Y / resid# constant X
  • 1:12:23 62.
    Linreg chxx # xx1
  • 1:13:17 63.
    Linreg chxx # xx1 CHXX{1}
  • 1:14:10 64.
    Error Correction Models
  • 1:15:05 65.
    LINREG CHY# CONSTANT CHX RESIDUALS1
  • 1:15:57 66.
    ECM with Unknown Co-Integrating Relation 𝐶𝐻𝑌 𝑇 =0.996 𝐶𝐻𝑋 𝑇 −0.74( 𝑌 𝑇−1 −0.135−1.026 𝑋 𝑇−1 )
  • 1:16:33 67.
    ECM with Known Co-Integrating Relation 𝐶𝐻𝑌 𝑇 =0.203+0.986 𝐶𝐻𝑋 𝑇 −0.67( 𝑌 𝑇−1 − 𝑋 𝑇−1 )
  • 1:17:23 68.
    Summary
  • Index
  • Notes
  • Comment
  • Fullscreen
acct-10-Analysis of Non Stationary Time Series Data
Duration: 1:18:31, Browse: 2940, Last Updated: 2022-12-11
    • 00:00 1.
      Analysis of Non-Stationary Time Series Data
    • 01:33 2.
      Stationarity
    • 03:58 3.
      A Nonstationary Time Series
    • 08:33 4.
      I(d)
    • 09:57 5.
      Non-Stationarity! So What?
    • 11:13 6.
      I(d)
    • 11:13 7.
      A Nonstationary Time Series
    • 11:44 8.
      I(d)
    • 11:44 9.
      Non-Stationarity! So What?
    • 11:46 10.
      I(d)
    • 11:50 11.
      Non-Stationarity! So What?
    • 12:55 12.
      I(0) vs. I(1)
    • 14:06 13.
      Non-Stationarity! So What?
    • 16:36 14.
      I(0) vs. I(1)
    • 16:41 15.
      White Noise and AR(1)
    • 18:43 16.
      Test for Unit Root
    • 22:26 17.
      Unit Root Test (1)
    • 22:32 18.
      Test for Unit Root
    • 23:09 19.
      Unit Root Test (1)
    • 26:32 20.
      Unit Root Test (2)
    • 26:56 21.
      Unit Root Test (1)
    • 27:01 22.
      Unit Root Test (2)
    • 27:28 23.
      Unit Root Test (1)
    • 27:35 24.
      Unit Root Test (2)
    • 28:18 25.
      Dickey Fuller Test
    • 29:16 26.
      Augmented Dickey Fuller Test (ADF)
    • 31:17 27.
      An Example: Expectation Theory
    • 36:12 28.
      Yields of US T-Bill Example
    • 39:58 29.
      Empirical Work
    • 42:29 30.
      Organize Data
    • 44:17 31.
      Unit Root Test
    • 45:36 32.
      linreg CHX# X1
    • 46:26 33.
      Unit Root Test
    • 46:27 34.
      Organize Data
    • 46:27 35.
      Empirical Work
    • 46:27 36.
      Yields of US T-Bill Example
    • 46:28 37.
      An Example: Expectation Theory
    • 46:28 38.
      Augmented Dickey Fuller Test (ADF)
    • 46:29 39.
      Dickey Fuller Test
    • 47:04 40.
      Augmented Dickey Fuller Test (ADF)
    • 47:05 41.
      An Example: Expectation Theory
    • 47:05 42.
      Yields of US T-Bill Example
    • 47:06 43.
      Empirical Work
    • 47:07 44.
      Organize Data
    • 47:09 45.
      Unit Root Test
    • 47:10 46.
      linreg CHX# X1
    • 47:36 47.
      linreg CHX# constant X1
    • 49:05 48.
      linreg CHX# constant X1 CHX1
    • 49:38 49.
      linreg CHY# Y1
    • 50:16 50.
      linreg CHY# constant Y1
    • 50:55 51.
      linreg CHY# constant Y1 CHY1
    • 51:11 52.
      Cointegration
    • 54:09 53.
      Testing Co-integrating Relation
    • 56:39 54.
      Slide 26
    • 59:56 55.
      Co-integration
    • 1:02:06 56.
      Engle and Granger Representation
    • 1:02:48 57.
      Engle and Granger Representation
    • 1:05:54 58.
      Engle and Granger Process
    • 1:07:33 59.
      Estimating Co-integrating Relation
    • 1:08:45 60.
      Engle-Granger Test for Unit Root
    • 1:11:03 61.
      linreg Y / resid# constant X
    • 1:12:23 62.
      Linreg chxx # xx1
    • 1:13:17 63.
      Linreg chxx # xx1 CHXX{1}
    • 1:14:10 64.
      Error Correction Models
    • 1:15:05 65.
      LINREG CHY# CONSTANT CHX RESIDUALS1
    • 1:15:57 66.
      ECM with Unknown Co-Integrating Relation 𝐶𝐻𝑌 𝑇 =0.996 𝐶𝐻𝑋 𝑇 −0.74( 𝑌 𝑇−1 −0.135−1.026 𝑋 𝑇−1 )
    • 1:16:33 67.
      ECM with Known Co-Integrating Relation 𝐶𝐻𝑌 𝑇 =0.203+0.986 𝐶𝐻𝑋 𝑇 −0.67( 𝑌 𝑇−1 − 𝑋 𝑇−1 )
    • 1:17:23 68.
      Summary
    Location
    Folder name
    計量經濟學
    Author
    李阿乙
    Branch
    powercam.fju.edu.tw (root)
    Created
    2022-12-11 10:27:48
    Last Updated
    2022-12-11 10:46:55
    Duration
    1:18:31