重要事項 Import Notes

重要事項 Import Notes
修習國際金融專題學生,
請務必參見 課程網頁維護重要事項 Import Notes
Registered students MUST see the Import Notes

2009-10-24

ARIMA AND COINTEGRATION TESTS OF PPP UNDER FIXED AND FLEXIBLE

Walter Enders(1988),"ARIMA AND COINTEGRATION TESTS OF PPP UNDER FIXED AND FLEXIBLE", Vol. 70, No. 3, pp. 504-508
原文連結DOI


重點摘要 by VICKY (2009.10.26)
基本理論 :本篇文章主要應用的理論是購買力平價說。

研究方法 (估計、檢定、指標) 與邏輯 :本文主要的研究方法有，單根檢定、ARIMA、共整合、誤差修正模型。

需要的統計數據: 使用的數據有浮動、固定匯率，物價指數。

主要實證結果 :文章的實證結果顯示除了變異的增加，和預測的實質利率下降之外，只有一些些的證據支持在70年代購買力評價瓦解的這個宣稱。點估計和定態的檢定則指出購買力評價在浮動和固定匯率這兩個期間表現同樣出色或同樣不佳。

困難處或遭遇之問題:
1.由於變數是非定態，在模型估計上會發生假性迴歸。
2專有名詞翻譯的問題及有時翻譯完整個句子或段落仍然不懂文章所隱函的意義。
3模型較陌生，須在熟讀。

有用的參考文獻: 1.楊奕農，2009年，時間序列分析─經濟與財務上之應用
2.總經課本
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PO 文注意事項 (Notes about your posts required for this course)

每位同學必需建立與維護 2 個網頁: (updated on 2010.9.19)
Every registered student MUST post and maintain TWO pages at this site.

1. 你的期末報告想要仿照的原始 paper 重點摘要頁, 見 [範例]
A summary of the paper you choose to follow in your term-project. (see a suggestive [summary example ]).

2. 你的學習紀錄頁, 見 [範例]
A "learning weblog" of your progress during this course (see [example]). This example is demonstrative rather than required to conform to.

3. 記得每一頁要在頁尾處輸入你的「標籤」, 包含學號後5碼, 名字或暱稱, 和 其它你自訂的關鍵字, 例 ADF、共整合、PPP、等
When you edit your pages, be sure to write appropriate "Tags" (as many as you wish) (around the bottom of editing screen) for your posted pages to let me identify your required contributions. The tags should at least include your last 5-digit student ID and keywords about the page.

4. 請同學在你所選的 paper 加上標籤:「已選」
If you have already decided a paper to follow and post a page for it. Please be sure to attach that page a specific tag named "selected or 已選." It is of course possible that two or more students may choose the same paper to follow as their term-project. BUT only one of them can be authorized to follow the specific paper. The decision will be based on a first-come-first-serve rule. That is, the one who posts the summary page of a paper gets the first priority to follow that paper posted with a tag named"selected" paper .

5. 在你的 學習紀錄頁加上標籤:「學習記事」
Don't forget to stick a tag "weblog" with your "learning weblog" page in addition to your last 5-digit student ID.


== Posted on 2009.10.05 ==
請同學在你所選的 paper 加上標籤:「已選」
在你的 學習紀錄頁加上標籤:「學習記事」