[下载]硕士学位论文农村居民食物消费结构变动及其对粮食需求影响的实证分析 [推广有奖]

321楼

Statachen 发表于 2006-5-5 07:53:00

Diagnostic Checks i....Time Series[长]

[此贴子已经被作者于2006-5-9 5:52:25编辑过]

322楼

hanszhu 发表于 2006-5-5 08:57:00

[下载]Stefan Lundbergh and Timo Teräsvirta: Evaluating GARCH models

Evaluating GARCH models

Stefan Lundbergh and Timo Teräsvirta^,

Department of Economic Statistics, Stockholm School of Economics, P.O. Box 6501, SE-113 83, Stockholm, Sweden

Available online 12 June 2002.

Abstract

In this paper, a unified framework for testing the adequacy of an estimated GARCH model is presented. Parametric Lagrange multiplier (LM) or LM type tests of no ARCH in standardized errors, linearity, and parameter constancy are proposed. The asymptotic null distributions of the tests are standard, which makes application easy. Versions of the tests that are robust against nonnormal errors are provided. The finite sample properties of the test statistics are investigated by simulation. The robust tests prove superior to the nonrobust ones when the errors are nonnormal. They also compare favourably in terms of power with misspecification tests previously proposed in the literature.

Author Keywords: Conditional heteroskedasticity; Model misspecification test; Nonlinear time series; Parameter constancy; Smooth transition GARCH

51292.pdf (210.17 KB)

[此贴子已经被作者于2006-5-5 9:00:06编辑过]

323楼

hanszhu 发表于 2006-5-6 03:44:00

[下载]非线性回归分析及其应用（现代国....丛，426s，pdf）[长]

[此贴子已经被作者于2006-5-9 5:48:20编辑过]

324楼

hanszhu 发表于 2006-5-7 02:08:00

Stochastic Limit Theory:An Introduction for Econometricians

Publication date 1994 (this edition)
Print ISBN-10: 0-19-877403-6
Print ISBN-13: 978-0-19-877403-7
doi:10.1093/0198774036.001.0001

Abstract:

This book aims to introduce modern asymptotic theory to students and practitioners of econometrics. It falls broadly into two parts. The first half provides a handbook and reference for the underlying mathematics (Part I, Chapters 1-6), statistical theory (Part II, Chapters 7-11) and stochastic process theory (Part III, Chapters 12-17). The second half provides a treatment of the main convergence theorems used in analysing the large sample behaviour of econometric estimators and tests. These are the law of large numbers (Part IV, Chapters 18-21), the central limit theorem (Part V, Chapters 22-25) and the functional central limit theorem (Part VI, Chapters 26-30). The focus in this treatment is on the nonparametric approach to time series properties, covering topics such as nonstationarity, mixing, martingales, and near-epoch dependence. While the approach is not elementary, care is taken to keep the treatment self-contained. Proofs are provided for almost all the results.

一本国外的高级计量经济学教材

[此贴子已经被作者于2006-5-7 2:12:30编辑过]