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

2010-10-05

State of the Art Unit Root Tests and Purchasing Power Parity.

文獻來源：LOPEZ, CLAUDE; MURRAY, CHRISTIAN J.; PAPELL, DAVID H.. Journal of Money, Credit & Banking, Apr2005, Vol. 37 Issue 2, p361-369, 9p, 6 Charts
(原文連結)
重點摘要：(by 一粒米)
基本理論：
Purchasing power parity(PPP)理論

研究方法(估計、檢點、指標)與邏輯：
單根檢定
Augmented Dickey-Fuller(ADF)
Dickey-Fuller generalized least(DF-GLS)

需要的統計數據：
採APEC之會員國東亞9國，台灣、香港、新加坡、南韓、日本、印尼、馬來西亞、菲律賓、泰國等9國。

主要的實證結果：
1.選擇落後期的方法不同，對於長期購買力平價PPP會導致不同的結論。
2.資料的期間越長，拒絕單根虛無假設的能力越強。
3.在長期下，PPP成立。

困難處與遭遇處之問題：
原paper有參考其他文獻，但其文獻卻無法取得

有用的參考文獻:
時間序列分析-經濟與財務上之應用，楊奕農著
財務計量：EVIEW的運用，鍾惠民著
Taylor,Alan M.(2002)."A Cemtury of Purchasing Power Parity."The Review of Economics and Statistics 84, 139-150.
張貼者： 於
標籤： , , ,

1 則留言:

黃小美 提到...

哈囉，你的文獻來源格式不對!請參照範例

10/18/2010 02:03:00 下午

張貼留言

訂閱： 張貼留言 (Atom)

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」