《金融計量學》習題及習題答案

1、1誠實考試吾心不虛 誠實考試吾心不虛 ，公平競爭方顯實力， ，公平競爭方顯實力，考試失敗尚有機會 考試失敗尚有機會 ，考試舞弊前功盡棄。 ，考試舞弊前功盡棄。上海財經大學《 上海財經大學《 Financial Econometrics 》課程考試卷一 》課程考試卷一課程代碼 課程代碼 課程序號 課程序號 姓名 姓名 學號 學號 班級 班級

2、 題號 題號 一 二 三 四 五 六 七 八 九 十 總分 總分得分 得分Part 1 Term Explanation （20 marks）1．White Noise2．RandomWalk3．Akaike Information Criterion4．Jarque-Bera Statistic5．Chow TestImportant Point：1．White Noise：White Noise is the special

3、 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 pr

4、ocess 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

5、 t t t u y y ? ? ?13．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 performa

6、nce 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 bas

7、ed on the residual of the regression. The Jarque-Bera Statistic= , where S is the skewness and K is the ) 24) 3 (6 (2 2 ? ? K S n3Part 3 Explanations of four diagnostic tests and making comments on the empirical results