Professor：Ahyee Lee
Date：2022-12-19
views: 55
• 00:00 1.
Vector Autoregressive Model
• 00:57 2.
Autoregressive Models
• 02:32 3.
Vector Auto Regressive (VAR) Model
• 05:49 4.
There are three different types of VAR.
• 08:13 5.
(Reduced Form) VAR
• 11:07 6.
VAR
• 16:10 7.
Determining the length of lags
• 18:16 8.
Determining the Length of Lags
• 20:42 9.
Impulse Response Function
• 22:37 10.
An Example of Impulse Response Function
• 23:43 11.
Impact of 𝜀 1 𝜀 2 = 4 0
• 24:27 12.
An Example of Impulse Response Function
• 24:53 13.
Impact of 𝜀 1 𝜀 2 = 4 0
• 25:01 14.
An Example of Impulse Response Function
• 25:37 15.
Impact of 𝜀 1 𝜀 2 = 4 0
• 28:17 16.
Impact of 𝜀 1 𝜀 2 = 0 5
• 29:56 17.
A Non-Stationary VAR
• 33:27 18.
Condition for Cointegration (1)
• 34:31 19.
Condition for Cointegration (2)
• 35:32 20.
An Example
• 35:50 21.
VAR under Co-integration
• 38:04 22.
VAR under Co-integration
• 38:06 23.
VAR under Co-integration
• 38:06 24.
An Example
• 38:07 25.
VAR under Co-integration
• 38:33 26.
VAR under Co-integration
• 38:54 27.
VAR under Co-integration
• 38:59 28.
VAR under Co-integration
• 38:59 29.
Johansen’s test for Co-integration
• 39:01 30.
VAR under Co-integration
• 40:09 31.
Johansen’s test for Co-integration
• 41:53 32.
Granger’s Representation
• 42:37 33.
An Example: Greek CDS
• 52:40 34.
An Example: Greece CDS and BY
• 56:17 35.
RATS Program for DK tests
• 57:57 36.
𝐶𝐷𝑆 𝑡 =𝑎 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
• 58:25 37.
∆𝐶𝐷𝑆 𝑡 =𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
• 59:22 38.
∆𝐶𝐷𝑆 𝑡 = 𝑎 0 +𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
• 59:28 39.
∆ 𝐶𝐷𝑆 𝑡 = 𝛼 0 +𝛼 ( 𝐶𝐷𝑆 𝑡−1 )+𝛾 ∆ 𝐶𝐷𝑆 𝑡−1 + 𝑢 𝑡
• 59:36 40.
∆𝐶𝐷𝑆 𝑡 = 𝑎 0 +𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
• 59:45 41.
∆ 𝐶𝐷𝑆 𝑡 = 𝛼 0 +𝛼 ( 𝐶𝐷𝑆 𝑡−1 )+𝛾 ∆ 𝐶𝐷𝑆 𝑡−1 + 𝑢 𝑡
• 1:00:17 42.
∆𝐶𝐷𝑆 𝑡 = 𝑎 0 +𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
• 1:00:18 43.
∆𝐶𝐷𝑆 𝑡 =𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
• 1:00:18 44.
𝐶𝐷𝑆 𝑡 =𝑎 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
• 1:00:18 45.
RATS Program for DK tests
• 1:00:19 46.
An Example: Greece CDS and BY
• 1:00:19 47.
An Example: Greek CDS
• 1:00:19 48.
Granger’s Representation
• 1:00:20 49.
Johansen’s test for Co-integration
• 1:00:20 50.
VAR under Co-integration
• 1:00:20 51.
VAR under Co-integration
• 1:00:20 52.
An Example
• 1:00:21 53.
Condition for Cointegration (2)
• 1:00:21 54.
Condition for Cointegration (1)
• 1:00:22 55.
A Non-Stationary VAR
• 1:00:22 56.
Impact of 𝜀 1 𝜀 2 = 0 5
• 1:00:22 57.
Impact of 𝜀 1 𝜀 2 = 4 0
• 1:00:23 58.
An Example of Impulse Response Function
• 1:00:23 59.
Impulse Response Function
• 1:00:23 60.
Determining the Length of Lags
• 1:00:24 61.
Determining the length of lags
• 1:00:24 62.
VAR
• 1:00:25 63.
(Reduced Form) VAR
• 1:00:25 64.
There are three different types of VAR.
• 1:00:25 65.
Vector Auto Regressive (VAR) Model
• 1:00:26 66.
Autoregressive Models
• 1:00:26 67.
Vector Autoregressive Model
• 1:00:31 68.
Autoregressive Models
• 1:00:32 69.
Vector Auto Regressive (VAR) Model
• 1:00:32 70.
There are three different types of VAR.
• 1:00:32 71.
(Reduced Form) VAR
• 1:00:33 72.
VAR
• 1:00:33 73.
Determining the length of lags
• 1:00:33 74.
Determining the Length of Lags
• 1:00:34 75.
Impulse Response Function
• 1:00:34 76.
An Example of Impulse Response Function
• 1:00:34 77.
Impact of 𝜀 1 𝜀 2 = 4 0
• 1:00:35 78.
Impact of 𝜀 1 𝜀 2 = 0 5
• 1:00:36 79.
A Non-Stationary VAR
• 1:00:36 80.
Condition for Cointegration (1)
• 1:00:37 81.
Condition for Cointegration (2)
• 1:00:37 82.
An Example
• 1:00:39 83.
VAR under Co-integration
• 1:00:39 84.
VAR under Co-integration
• 1:00:40 85.
Johansen’s test for Co-integration
• 1:00:40 86.
Granger’s Representation
• 1:00:41 87.
An Example: Greek CDS
• 1:00:41 88.
An Example: Greece CDS and BY
• 1:00:42 89.
RATS Program for DK tests
• 1:00:42 90.
𝐶𝐷𝑆 𝑡 =𝑎 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
• 1:00:46 91.
∆𝐶𝐷𝑆 𝑡 =𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
• 1:00:47 92.
∆𝐶𝐷𝑆 𝑡 = 𝑎 0 +𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
• 1:00:47 93.
∆ 𝐶𝐷𝑆 𝑡 = 𝛼 0 +𝛼 ( 𝐶𝐷𝑆 𝑡−1 )+𝛾 ∆ 𝐶𝐷𝑆 𝑡−1 + 𝑢 𝑡
• 1:00:48 94.
DF Tests for CDS
• 1:00:48 95.
DF Test For Excess BY
• 1:00:53 96.
DF Tests for CDS
• 1:00:55 97.
DF Test For Excess BY
• 1:01:07 98.
DF Test For Excess BY
• 1:01:52 99.
DF Test For Excess BY
• 1:02:38 100.
Unit Root Tests
• 1:03:39 101.
VECM for Greece
• 1:03:46 102.
Unit Root Tests
• 1:05:05 103.
VECM for Greece
• 1:06:02 104.
VECM Model-Greece
• 1:10:15 105.
VECM Model-Greece
• Index
• Notes
• Comment
• Fullscreen
acct-11-VAR
Duration: 1:11:50, Browse: 55, Last Updated: 2022-12-19
• 00:00 1.
Vector Autoregressive Model
• 00:57 2.
Autoregressive Models
• 02:32 3.
Vector Auto Regressive (VAR) Model
• 05:49 4.
There are three different types of VAR.
• 08:13 5.
(Reduced Form) VAR
• 11:07 6.
VAR
• 16:10 7.
Determining the length of lags
• 18:16 8.
Determining the Length of Lags
• 20:42 9.
Impulse Response Function
• 22:37 10.
An Example of Impulse Response Function
• 23:43 11.
Impact of 𝜀 1 𝜀 2 = 4 0
• 24:27 12.
An Example of Impulse Response Function
• 24:53 13.
Impact of 𝜀 1 𝜀 2 = 4 0
• 25:01 14.
An Example of Impulse Response Function
• 25:37 15.
Impact of 𝜀 1 𝜀 2 = 4 0
• 28:17 16.
Impact of 𝜀 1 𝜀 2 = 0 5
• 29:56 17.
A Non-Stationary VAR
• 33:27 18.
Condition for Cointegration (1)
• 34:31 19.
Condition for Cointegration (2)
• 35:32 20.
An Example
• 35:50 21.
VAR under Co-integration
• 38:04 22.
VAR under Co-integration
• 38:06 23.
VAR under Co-integration
• 38:06 24.
An Example
• 38:07 25.
VAR under Co-integration
• 38:33 26.
VAR under Co-integration
• 38:54 27.
VAR under Co-integration
• 38:59 28.
VAR under Co-integration
• 38:59 29.
Johansen’s test for Co-integration
• 39:01 30.
VAR under Co-integration
• 40:09 31.
Johansen’s test for Co-integration
• 41:53 32.
Granger’s Representation
• 42:37 33.
An Example: Greek CDS
• 52:40 34.
An Example: Greece CDS and BY
• 56:17 35.
RATS Program for DK tests
• 57:57 36.
𝐶𝐷𝑆 𝑡 =𝑎 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
• 58:25 37.
∆𝐶𝐷𝑆 𝑡 =𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
• 59:22 38.
∆𝐶𝐷𝑆 𝑡 = 𝑎 0 +𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
• 59:28 39.
∆ 𝐶𝐷𝑆 𝑡 = 𝛼 0 +𝛼 ( 𝐶𝐷𝑆 𝑡−1 )+𝛾 ∆ 𝐶𝐷𝑆 𝑡−1 + 𝑢 𝑡
• 59:36 40.
∆𝐶𝐷𝑆 𝑡 = 𝑎 0 +𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
• 59:45 41.
∆ 𝐶𝐷𝑆 𝑡 = 𝛼 0 +𝛼 ( 𝐶𝐷𝑆 𝑡−1 )+𝛾 ∆ 𝐶𝐷𝑆 𝑡−1 + 𝑢 𝑡
• 1:00:17 42.
∆𝐶𝐷𝑆 𝑡 = 𝑎 0 +𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
• 1:00:18 43.
∆𝐶𝐷𝑆 𝑡 =𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
• 1:00:18 44.
𝐶𝐷𝑆 𝑡 =𝑎 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
• 1:00:18 45.
RATS Program for DK tests
• 1:00:19 46.
An Example: Greece CDS and BY
• 1:00:19 47.
An Example: Greek CDS
• 1:00:19 48.
Granger’s Representation
• 1:00:20 49.
Johansen’s test for Co-integration
• 1:00:20 50.
VAR under Co-integration
• 1:00:20 51.
VAR under Co-integration
• 1:00:20 52.
An Example
• 1:00:21 53.
Condition for Cointegration (2)
• 1:00:21 54.
Condition for Cointegration (1)
• 1:00:22 55.
A Non-Stationary VAR
• 1:00:22 56.
Impact of 𝜀 1 𝜀 2 = 0 5
• 1:00:22 57.
Impact of 𝜀 1 𝜀 2 = 4 0
• 1:00:23 58.
An Example of Impulse Response Function
• 1:00:23 59.
Impulse Response Function
• 1:00:23 60.
Determining the Length of Lags
• 1:00:24 61.
Determining the length of lags
• 1:00:24 62.
VAR
• 1:00:25 63.
(Reduced Form) VAR
• 1:00:25 64.
There are three different types of VAR.
• 1:00:25 65.
Vector Auto Regressive (VAR) Model
• 1:00:26 66.
Autoregressive Models
• 1:00:26 67.
Vector Autoregressive Model
• 1:00:31 68.
Autoregressive Models
• 1:00:32 69.
Vector Auto Regressive (VAR) Model
• 1:00:32 70.
There are three different types of VAR.
• 1:00:32 71.
(Reduced Form) VAR
• 1:00:33 72.
VAR
• 1:00:33 73.
Determining the length of lags
• 1:00:33 74.
Determining the Length of Lags
• 1:00:34 75.
Impulse Response Function
• 1:00:34 76.
An Example of Impulse Response Function
• 1:00:34 77.
Impact of 𝜀 1 𝜀 2 = 4 0
• 1:00:35 78.
Impact of 𝜀 1 𝜀 2 = 0 5
• 1:00:36 79.
A Non-Stationary VAR
• 1:00:36 80.
Condition for Cointegration (1)
• 1:00:37 81.
Condition for Cointegration (2)
• 1:00:37 82.
An Example
• 1:00:39 83.
VAR under Co-integration
• 1:00:39 84.
VAR under Co-integration
• 1:00:40 85.
Johansen’s test for Co-integration
• 1:00:40 86.
Granger’s Representation
• 1:00:41 87.
An Example: Greek CDS
• 1:00:41 88.
An Example: Greece CDS and BY
• 1:00:42 89.
RATS Program for DK tests
• 1:00:42 90.
𝐶𝐷𝑆 𝑡 =𝑎 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
• 1:00:46 91.
∆𝐶𝐷𝑆 𝑡 =𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
• 1:00:47 92.
∆𝐶𝐷𝑆 𝑡 = 𝑎 0 +𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
• 1:00:47 93.
∆ 𝐶𝐷𝑆 𝑡 = 𝛼 0 +𝛼 ( 𝐶𝐷𝑆 𝑡−1 )+𝛾 ∆ 𝐶𝐷𝑆 𝑡−1 + 𝑢 𝑡
• 1:00:48 94.
DF Tests for CDS
• 1:00:48 95.
DF Test For Excess BY
• 1:00:53 96.
DF Tests for CDS
• 1:00:55 97.
DF Test For Excess BY
• 1:01:07 98.
DF Test For Excess BY
• 1:01:52 99.
DF Test For Excess BY
• 1:02:38 100.
Unit Root Tests
• 1:03:39 101.
VECM for Greece
• 1:03:46 102.
Unit Root Tests
• 1:05:05 103.
VECM for Greece
• 1:06:02 104.
VECM Model-Greece
• 1:10:15 105.
VECM Model-Greece
Location
Folder name
計量經濟學
Author
李阿乙
Branch
powercam.fju.edu.tw (root)
Created
2022-12-19 23:23:40
Last Updated
2022-12-19 23:41:03
Browse
55
Duration
1:11:50