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Econometrics (Seminar of Financial Topics財金議題專題)

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Ch3_Nonlinear Model by Gauss.ppt

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PPT for Each Chapter	Certain Supplements
Chapter 2	1. The normal distribution: An example 2. An example: unbiased and consistent estimate 3. Research Materials
Chapter 3	1. Nonlinear Model by Gauss
Chapter 4	1. Omit or Include Variables 2. Nonlinear Model by Gauss 3. Running the regression using certain programs
Chapter 5	1. Consequences of non-constant variance 2. The data for calculating the three types of correlation: Corl.dat 3. The data for applyig non-constant variance tests: Het.dat
Chapter 6	1. Spurious Regression-An Example 2. Cointergration Test-An Example 3. Error Correction Model-Estimation by E-views: An example of futures and spot stock indices 4. GARCH Model 5. The Model with Lagged Variables 6. Levels vs. First Differences 7. Limitations of ADF Tests 8. Three types of RW 9. Unit Root Test-An Example 10. The data for applying the GLS method 11. The biased estimate of standard deviation of error term: sigma_AR.opt 12. The data for applying the Durbin's h test and Durbin's alternative test 13. The data for applying the misspecification test
Chapter 7	1. Consequences for multicollinearity: An example by Gauss 2. The data for applying the multicollinearity tests 3. The data for applying the dropping variables method
Chapter 8	1. The data for applying the linear probability model, the discriminant analysis and logit model
Chapter 9
Chapter 13
Chapter 14
Chapter 15
Random-coefficient Models	(1) Introduction for random-coefficient models: PPT (2) Program Code for QR (quantile regression): An simple example, TXT
Six representative journal paper publications	1. Li, Ming-Yuan Leon, Her-Jiun Sheu, Lin Lin and Yu-Chi Tang (2007) Market conditions and abnormal return of IPO- An empirical study of Taiwan's high-tech companies, Journal of Chinese Economic and Business Studies, 5, 51-64. 【EconLit, ABI】 2. Li, Ming-Yuan Leon (2008) Hybrid versus highbred: Combined economic models with time-series approaches, Quantitative Finance, 10, 637-647. 【SSCI, Impact Factor=0.824 (2007), ISI Rank=20/45 (Business, Finance), 74/191 (Economics)】 3. Li, Ming-Yuan Leon* (2008) Dynamic hedge ratio for stock index futures: Application of threshold VECM, Applied Economics, published online (DOI: 10.1080/00036840701721380) 【SSCI, Impact Factor=0.473 (2007), ISI Rank=124/191 (Economics)】 4. Li, Ming-Yuan Leon* (2009) Could the jump diffusion technique enhance the effectiveness of futures hedging models? A reality test, Mathematics and Computers in Simulation, published online (DOI: 10.1016/j.matcom.2009.02.013) 【SCI, Impact Factor= 0.738 (2007), ISI Rank=69/165 (Mathematics, Applied)】 5. Li, Ming-Yuan Leon* (2008) Reexamining risk-return relationship in banks using quantile regression, Service Industries Journal, accepted and forthcoming 【SSCI, Impact Factor= 0.210 (2007), ISI Rank =78/81 (Management)】 6. Li, Ming-Yuan Leon* (2009) Value or volume strategy, Finance Research Letters, published online (DOI: 10.1016/j.frl.2009.08.002)【SSCI】

1.
Gauss program (windows version)
2.
Language reference for Gauss program
3.
datastream資料庫使用手冊

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