A^ LOþ - Shandong University...1Ÿø EViews ˜: 3 1 ø EViews ? 47 1nø £8'Û 137 1oø u Úýÿ...

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2011c 10� 24F

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1�ù EViewsÄ: 3

1�ù EViews?§ 47

1nù £8©Û 137

1où u�Úýÿ 177

1Êù ARMA�. 225

18ù ARCH�. 253

1Ôù ü �L§ 293

1lù ¡�êâÄ: 331

1Êù ¡�êâA^ 393

1�ù �§|Úéá�§ 459

1��ù VAR�. 499

1��ù G��m�. 565

1�nù �µ©Û 607

1�où 2ÂÝ�O 651

1�Êù �O�{ 709

1�8ù lÑÚÉ�ÏCþ�. 785

N¹ A EViewsé� 845

N¹ B ÚO©Û 913

N¹ C À�� 955

N¹ D EViews#�� 967

i

8 ¹

{²8¹ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . iL�8¹ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xic ó . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xiii

I �� ½½½

111��ùùù EViewsÄÄÄ::: 3

1.1 @£ EViews . . . . . . . . . . . . . . 41.1.1 EViewsI� . . . . . . . . . . 41.1.2 EViews´�?§� . . . . . . 41.1.3 éÄÚòÑ . . . . . . . . . . 51.1.4 ¼��Ï . . . . . . . . . . . . 6

1.2 ¢~N� . . . . . . . . . . . . . . . . 71.2.1 êâ�w . . . . . . . . . . . . 91.2.2 £8�.�O . . . . . . . . . 131.2.3 ?U�. . . . . . . . . . . . . 161.2.4 ýÿ . . . . . . . . . . . . . . 171.2.5 ?�Ú�u� . . . . . . . . . 181.2.6 (å� . . . . . . . . . . . . . 20

1.3 ó�©� . . . . . . . . . . . . . . . . 211.3.1 Ä�Vg . . . . . . . . . . . . 211.3.2 �mÚ'4 . . . . . . . . . . 211.3.3 ïá . . . . . . . . . . . . . . 221.3.4 �� . . . . . . . . . . . . . . 25

1.3.5 lÜêâMï . . . . . . . . 26

1.3.6 �( . . . . . . . . . . . . . . 29

1.4 S�é� . . . . . . . . . . . . . . . . 30

1.4.1 MïÚÐ©z . . . . . . . . . 30

1.4.2 ·¶5K . . . . . . . . . . . . 31

1.4.3 �w . . . . . . . . . . . . . . 32

1.4.4 ½�Ú�< . . . . . . . . . . 33

1.4.5 Ù¦ö� . . . . . . . . . . . . 34

1.4.6 êâÚ¼ê . . . . . . . . . . 36

1.4.7 �( . . . . . . . . . . . . . . 37

1.5 é�µêâÚ�{ . . . . . . . . . . . 38

1.5.1 ¡�é� . . . . . . . . . . . . 38

1.5.2 EViewsé� . . . . . . . . . . 40

1.5.3 +é� . . . . . . . . . . . . . 41

1.5.4 ·-�{ . . . . . . . . . . . . 44

1.6 �( . . . . . . . . . . . . . . . . . . . 45

111��ùùù EViews???§§§ 47

2.1 L�ªÚD� . . . . . . . . . . . . . 48

2.1.1 ~þ . . . . . . . . . . . . . . 48

2.1.2 Cþ . . . . . . . . . . . . . . 48

2.1.3 $�Î . . . . . . . . . . . . . 52

2.1.4 L�ª . . . . . . . . . . . . . 54

2.1.5 D� . . . . . . . . . . . . . . 55

2.1.6 �c!¢�Ú�© . . . . . . 59

2.1.7 "�� . . . . . . . . . . . . . 60

2.1.8 �( . . . . . . . . . . . . . . 62

2.2 6§�� . . . . . . . . . . . . . . . . 63

iii

2.2.1 IF�é . . . . . . . . . . . . . 632.2.2 FORÌ� . . . . . . . . . . . . 652.2.3 WHILEÌ� . . . . . . . . . . 682.2.4 aÑÌ� . . . . . . . . . . . . 692.2.5 f§S . . . . . . . . . . . . . 692.2.6 �( . . . . . . . . . . . . . . 75

2.3 ?§Ú�1 . . . . . . . . . . . . . . . 762.3.1 ?6§S . . . . . . . . . . . . 762.3.2 �1§S . . . . . . . . . . . . 782.3.3 ·-Ú¼ê . . . . . . . . . . 812.3.4 �( . . . . . . . . . . . . . . 82

2.4 iÎGÚFÏ . . . . . . . . . . . . . 832.4.1 iÎG . . . . . . . . . . . . . 832.4.2 FÏ . . . . . . . . . . . . . . 872.4.3 �( . . . . . . . . . . . . . . 92

2.5 õ�ó�©� . . . . . . . . . . . . . 932.5.1 ïáó�� . . . . . . . . . . 932.5.2 +nó�� . . . . . . . . . . 952.5.3 (�zó�� . . . . . . . . . 96

2.5.4 ó��&E . . . . . . . . . . 992.5.5 ó�©�¼ê . . . . . . . . . 1002.5.6 ?Uó�� . . . . . . . . . . 1032.5.7 �( . . . . . . . . . . . . . . 108

2.6 ¦^��é� . . . . . . . . . . . . . 1102.6.1 ó��8 . . . . . . . . . . 1102.6.2 ��é� . . . . . . . . . . . . 1152.6.3 ��L�ª . . . . . . . . . . 1172.6.4 �( . . . . . . . . . . . . . . 120

2.7 ?§J« . . . . . . . . . . . . . . . . 1212.7.1 �J« . . . . . . . . . . . . . 1212.7.2 Xêé� . . . . . . . . . . . . 1222.7.3 E� . . . . . . . . . . . . . . 1222.7.4 ·-Ú¼ê . . . . . . . . . . 1242.7.5 Ï�Î . . . . . . . . . . . . . 126

2.8 �\?§ . . . . . . . . . . . . . . . . 1282.8.1 L�Úã/ . . . . . . . . . . 1282.8.2 g#S� . . . . . . . . . . . . 129

2.9 �( . . . . . . . . . . . . . . . . . . . 133

II ��mmmSSS��©©©ÛÛÛ

111nnnùùù £££888©©©ÛÛÛ 137

3.1 ÊÏ��¦�O . . . . . . . . . . . 1383.1.1 ~f . . . . . . . . . . . . . . 1383.1.2 �§��½ . . . . . . . . . . 1393.1.3 õ��5£8 . . . . . . . . . 1413.1.4 �O(J . . . . . . . . . . . . 1433.1.5 �§é� . . . . . . . . . . . . 1453.1.6 �( . . . . . . . . . . . . . . 147

3.2 ��è�O . . . . . . . . . . . . . 1483.2.1 ��O . . . . . . . . . . . . 1483.2.2 ~f . . . . . . . . . . . . . . 149

3.3 )ºCþ . . . . . . . . . . . . . . . . 1513.3.1 åCþ . . . . . . . . . . . . . 1513.3.2 �p� . . . . . . . . . . . . . 153

3.3.3 õ�ª©Ù¢� . . . . . . . . 1553.4 \��¦�O . . . . . . . . . . . 159

3.4.1 nØ£� . . . . . . . . . . . . 1593.4.2 ~f . . . . . . . . . . . . . . 160

3.5 ü�ã��¦�O . . . . . . . . . 1633.5.1 nØ£� . . . . . . . . . . . . 1633.5.2 ~f . . . . . . . . . . . . . . 1663.5.3 Ù¦�½ . . . . . . . . . . . . 167

3.6 ��5��¦�O . . . . . . . . . 1693.6.1 nØ£� . . . . . . . . . . . . 1693.6.2 ~f . . . . . . . . . . . . . . 1703.6.3 �O¥�¯K . . . . . . . . . 173

3.7 �( . . . . . . . . . . . . . . . . . . . 174

111oooùùù uuu��ÚÚÚýýýÿÿÿ 177

4.1 �½Úu�Ä: . . . . . . . . . . . . 178

4.1.1 �.�½ . . . . . . . . . . . . 178

4.1.2 b�u� . . . . . . . . . . . . 180

4.2 Xêu� . . . . . . . . . . . . . . . . 182

4.2.1 �&ý� . . . . . . . . . . . . 182

4.2.2 Waldu� . . . . . . . . . . . 184

4.2.3 ¢¦Cþ . . . . . . . . . . . . 187

4.2.4 P{Cþ . . . . . . . . . . . . 188

iv

4.2.5 GrangerÏJ'X . . . . . . . 1884.3 í�u� . . . . . . . . . . . . . . . . 190

4.3.1 S��'� LMu� . . . . . 1904.3.2 í�²��'ã . . . . . . 1914.3.3 ARCH LMu� . . . . . . . . 1924.3.4 Whiteu� . . . . . . . . . . . 193

4.4 ½5Ú�½u� . . . . . . . . . . . 1954.4.1 Chowu� . . . . . . . . . . . 1954.4.2 Chowýÿu� . . . . . . . . 1964.4.3 RESETu� . . . . . . . . . . 197

4.5 ýÿÄ: . . . . . . . . . . . . . . . . 1994.5.1 ýÿØ� . . . . . . . . . . . . 1994.5.2 ýÿµd . . . . . . . . . . . . 200

4.5.3 ^ EViews?1ýÿ . . . . . . 201

4.6 £8�§ýÿ . . . . . . . . . . . . . 206

4.6.1 k¢�ÏCþ�ýÿ . . . . . 206

4.6.2 k ARMA��ýÿ . . . . . . 207

4.6.3 L�ª�ýÿ . . . . . . . . . 208

4.7 A^¢~ . . . . . . . . . . . . . . . . 211

4.7.1 48��¦�O . . . . . . 211

4.7.2 (�ä:u� . . . . . . . . . 214

4.7.3 Hausmanu� . . . . . . . . . 215

4.7.4 �i@�.u� . . . . . . . . 217

4.7.5 Coxu� . . . . . . . . . . . . 218

4.8 �( . . . . . . . . . . . . . . . . . . . 221

111ÊÊÊùùù ARMA��... 225

5.1 �5�' . . . . . . . . . . . . . . . . 2265.1.1 g�'Ú g�' . . . . . . 2265.1.2 S��'�u� . . . . . . . . 2285.1.3 p�' . . . . . . . . . . . . . 231

5.2 ARMAï� . . . . . . . . . . . . . . 2325.2.1 g£8 . . . . . . . . . . . . . 232

5.2.2 ARMA(� . . . . . . . . . . 2345.2.3 �.�½ . . . . . . . . . . . . 235

5.3 �OÚ�ä . . . . . . . . . . . . . . . 2425.3.1 �O�{ . . . . . . . . . . . . 2425.3.2 �.�ä . . . . . . . . . . . . 245

5.4 �( . . . . . . . . . . . . . . . . . . . 250

111888ùùù ARCH��... 253

6.1 VA . . . . . . . . . . . . . . . . . . . 2546.1.1 �.�½ . . . . . . . . . . . . 2546.1.2 IOzí�©Ù . . . . . . . . 2556.1.3 éêq,¼ê . . . . . . . . . 256

6.2 GARCH�. . . . . . . . . . . . . . . 2586.2.1 Ä�/ª . . . . . . . . . . . . 2586.2.2 Ù¦/ª . . . . . . . . . . . . 260

6.3 A^¢~ . . . . . . . . . . . . . . . . 2626.3.1 ®Ç . . . . . . . . . . . . . . 2626.3.2 u�Úýÿ . . . . . . . . . . 2646.3.3 *Ð�. . . . . . . . . . . . . 268

6.4 �é¡ GARCH�. . . . . . . . . . 2736.4.1 TGARCH . . . . . . . . . . . . 2736.4.2 EGARCH . . . . . . . . . . . . 2756.4.3 PGARCH . . . . . . . . . . . . 2796.4.4 CGARCH . . . . . . . . . . . . 2816.4.5 GARCH�A . . . . . . . . . 282

6.5 Ù¦ GARCH�. . . . . . . . . . . . 2846.5.1 Xê��. . . . . . . . . . 2846.5.2 ARCD�. . . . . . . . . . . 2856.5.3 õ� GARCH . . . . . . . . . 286

6.6 �( . . . . . . . . . . . . . . . . . . . 287

111ÔÔÔùùù üüü ��LLL§§§ 293

7.1 Ä�Vg . . . . . . . . . . . . . . . . 2947.1.1 ²5 . . . . . . . . . . . . . 2947.1.2 �Åª³ . . . . . . . . . . . . 297

7.2 ü �u� . . . . . . . . . . . . . . . 3017.2.1 u��{ . . . . . . . . . . . . 3017.2.2 "ªÇªÌ�O . . . . . . . . 3077.2.3 ¢��ê . . . . . . . . . . . . 309

7.3 A^¢~ . . . . . . . . . . . . . . . . 3107.3.1 ü �u� . . . . . . . . . . 3107.3.2 u��{'� . . . . . . . . . 3147.3.3 DGP£O . . . . . . . . . . . 3177.3.4 G!5 . . . . . . . . . . . . . 3217.3.5 Ø�?��. . . . . . . . . . 324

7.4 �( . . . . . . . . . . . . . . . . . . . 325

v

III ¡¡¡��êêêâââ©©©ÛÛÛ

111lllùùù ¡¡¡��êêêâââÄÄÄ::: 331

8.1 �5�. . . . . . . . . . . . . . . . . 3338.1.1 Ý . . . . . . . . . . . . . . 3338.1.2 �.L« . . . . . . . . . . . . 3368.1.3 {ü�O�{ . . . . . . . . . 338

8.2 �½�AÚ�Å�A . . . . . . . . . 3418.2.1 �½�A . . . . . . . . . . . . 3418.2.2 �Å�A . . . . . . . . . . . . 3448.2.3 '� . . . . . . . . . . . . . . 347

8.3 A^¢~ . . . . . . . . . . . . . . . . 3498.3.1 {ü�O . . . . . . . . . . . . 3498.3.2 �½�A . . . . . . . . . . . . 3508.3.3 �Å�A . . . . . . . . . . . . 3518.3.4 �²ï¡� . . . . . . . . . . 353

8.4 ¦^Üºé� . . . . . . . . . . . . . 3548.4.1 Mï . . . . . . . . . . . . . . 3558.4.2 Üºêâ . . . . . . . . . . . . 3578.4.3 Üºé� . . . . . . . . . . . . 359

8.4.4 êâ�� . . . . . . . . . . . . 362

8.4.5 �( . . . . . . . . . . . . . . 366

8.5 V��A . . . . . . . . . . . . . . . . 367

8.5.1 Ý'X . . . . . . . . . . . . 367

8.5.2 V��A . . . . . . . . . . . . 369

8.5.3 ~f . . . . . . . . . . . . . . 370

8.6 Ù¦�.�½ . . . . . . . . . . . . . 372

8.6.1 C�Ç . . . . . . . . . . . . . 372

8.6.2 FGLS . . . . . . . . . . . . . . 375

8.6.3 AR� . . . . . . . . . . . . . . 377

8.6.4 óäCþ{ . . . . . . . . . . 378

8.6.5 �§| . . . . . . . . . . . . . 382

8.7 ��OÚu� . . . . . . . . . . . . 383

8.7.1 Xê��è�O . . . . . . 383

8.7.2 u� . . . . . . . . . . . . . . 385

8.8 �( . . . . . . . . . . . . . . . . . . . 388

111ÊÊÊùùù ¡¡¡��êêêâââAAA^ 393

9.1 ¡�ó�©� . . . . . . . . . . . . . 3949.1.1 Mï . . . . . . . . . . . . . . 3949.1.2 ¡�(� . . . . . . . . . . . . 4009.1.3 ¡�ó��¼ê . . . . . . . . 4049.1.4 ?U¡�ó�� . . . . . . . . 4059.1.5 �( . . . . . . . . . . . . . . 408

9.2 ¦^¡�êâ . . . . . . . . . . . . . 4099.2.1 ó��8 . . . . . . . . . . 4099.2.2 S�é� . . . . . . . . . . . . 4129.2.3 Ù¦é� . . . . . . . . . . . . 4189.2.4 �( . . . . . . . . . . . . . . 419

9.3 A^¢~ . . . . . . . . . . . . . . . . 420

9.3.1 Ä��. . . . . . . . . . . . . 420

9.3.2 *Ð�. . . . . . . . . . . . . 427

9.3.3 Xê��è�O . . . . . . 429

9.3.4 u�Úýÿ . . . . . . . . . . 431

9.3.5 ��5�. . . . . . . . . . . 433

9.3.6 �½Ú�O . . . . . . . . . . 434

9.4 ¡�ü � . . . . . . . . . . . . . . . 437

9.4.1 u��{ . . . . . . . . . . . . 437

9.4.2 A^¢~ . . . . . . . . . . . . 442

9.4.3 DGP£O . . . . . . . . . . . 447

9.5 �( . . . . . . . . . . . . . . . . . . . 454

IV õõõ��§§§��...

111��ùùù ��§§§|||ÚÚÚéééááá��§§§ 459

10.1 £8�§| . . . . . . . . . . . . . . . 460

10.1.1 �5�. . . . . . . . . . . . . 460

10.1.2 SOLS�O . . . . . . . . . . . 463

10.1.3 FGLS�O . . . . . . . . . . . 465

10.1.4 FIML�O . . . . . . . . . . . 468

10.1.5 ��5�. . . . . . . . . . . 469

vi

10.1.6 Xê�� . . . . . . . . . . . . 46910.2 ¦^�§|é� . . . . . . . . . . . . 471

10.2.1 �½ . . . . . . . . . . . . . . 47210.2.2 �O . . . . . . . . . . . . . . 47410.2.3 �§|é� . . . . . . . . . . 48210.2.4 �( . . . . . . . . . . . . . . 484

10.3 éá�§ . . . . . . . . . . . . . . . . 485

10.3.1 �5�. . . . . . . . . . . . . 48510.3.2 £O . . . . . . . . . . . . . . 48610.3.3 æU/ª . . . . . . . . . . . . 48910.3.4 S2SLS�O . . . . . . . . . . 49010.3.5 3SLS�O . . . . . . . . . . . 49210.3.6 ~f . . . . . . . . . . . . . . 493

10.4 �( . . . . . . . . . . . . . . . . . . . 496

111��ùùù VAR��... 499

11.1 VARÄ: . . . . . . . . . . . . . . . . 50011.1.1 �. . . . . . . . . . . . . . . 50011.1.2 u� . . . . . . . . . . . . . . 50511.1.3 ýÿ . . . . . . . . . . . . . . 51211.1.4 Varé� . . . . . . . . . . . . 512

11.2 VAR©Û . . . . . . . . . . . . . . . . 51511.2.1 óÀ�A . . . . . . . . . . . . 51511.2.2 ��©) . . . . . . . . . . . . 521

11.3 VEC�. . . . . . . . . . . . . . . . . 52511.3.1 ��ÚØ�?� . . . . . . . . 52511.3.2 VEC�½ . . . . . . . . . . . 52611.3.3 ~f . . . . . . . . . . . . . . 527

11.3.4 ��§£O . . . . . . . . . 53111.4 ��u� . . . . . . . . . . . . . . . . 538

11.4.1 u��{ . . . . . . . . . . . . 53811.4.2 na DGP . . . . . . . . . . . 54311.4.3 Ê«�. . . . . . . . . . . . . 54511.4.4 ¢~©Û . . . . . . . . . . . . 547

11.5 SVAR�. . . . . . . . . . . . . . . . 55211.5.1 �. . . . . . . . . . . . . . . 55211.5.2 áÏ�� . . . . . . . . . . . . 55211.5.3 �Ï�� . . . . . . . . . . . . 55711.5.4 �O . . . . . . . . . . . . . . 558

11.6 �( . . . . . . . . . . . . . . . . . . . 560

111��ùùù GGG��mmm��... 565

12.1 �.�½ . . . . . . . . . . . . . . . . 56612.1.1 Ä�/ª . . . . . . . . . . . . 56612.1.2 ~f . . . . . . . . . . . . . . 567

12.2 KalmanÈÅ . . . . . . . . . . . . . . 57012.2.1 O�L§ . . . . . . . . . . . . 57012.2.2 G��m�.�O . . . . . . 57412.2.3 Ð©z . . . . . . . . . . . . . 579

12.3 ¦^G��mé� . . . . . . . . . . . 582

12.3.1 �.�½ . . . . . . . . . . . . 58212.3.2 ~f . . . . . . . . . . . . . . 58512.3.3 G��mé� . . . . . . . . . 587

12.4 &ÒÚG� . . . . . . . . . . . . . . . 58912.4.1 J� . . . . . . . . . . . . . . 58912.4.2 ã/ . . . . . . . . . . . . . . 59112.4.3 ýÿ . . . . . . . . . . . . . . 596

12.5 �( . . . . . . . . . . . . . . . . . . . 603

111��nnnùùù ��µµµ©©©ÛÛÛ 607

13.1 ü« . . . . . . . . . . . . . . . . . . . 608

13.1.1 ÷*²L�. . . . . . . . . . 608

13.1.2 µ� . . . . . . . . . . . . . . 610

13.1.3 ��ýÿ . . . . . . . . . . 612

13.2 Ä:�£ . . . . . . . . . . . . . . . . 617

13.2.1 �§ . . . . . . . . . . . . . . 617

13.2.2 ¦) . . . . . . . . . . . . . . 618

13.2.3 Cþ+n . . . . . . . . . . . . 619

13.3 �µ©Û . . . . . . . . . . . . . . . . 620

13.3.1 ~f . . . . . . . . . . . . . . 620

13.3.2 �µ . . . . . . . . . . . . . . 622

13.3.3 �µ'� . . . . . . . . . . . . 624

13.3.4 ã/ . . . . . . . . . . . . . . 627

13.4 ¦^��é� . . . . . . . . . . . . . 628

13.4.1 �½ . . . . . . . . . . . . . . 628

13.4.2 �w�. . . . . . . . . . . . . 631

13.4.3 \Ïf . . . . . . . . . . . . 632

13.4.4 ��é� . . . . . . . . . . . . 634

13.5 �.¦) . . . . . . . . . . . . . . . . 636

13.5.1 ¦) . . . . . . . . . . . . . . 636

vii

13.5.2 ¦)À� . . . . . . . . . . . . 63813.5.3 8I´»�� . . . . . . . . . 64113.5.4 �.�ä . . . . . . . . . . . . 643

13.6 �( . . . . . . . . . . . . . . . . . . . 645

V ��\\\AAA^

111��oooùùù 222ÂÂÂÝÝÝ��OOO 651

14.1 ü�§ . . . . . . . . . . . . . . . . . 65214.1.1 GMM�{ . . . . . . . . . . . 65214.1.2 GMM�ü�§�O . . . . . 65614.1.3 ~f . . . . . . . . . . . . . . 65814.1.4 �( . . . . . . . . . . . . . . 664

14.2 ��O . . . . . . . . . . . . . . . . 66514.2.1 Ø�O . . . . . . . . . . . . . 66514.2.2 ~f . . . . . . . . . . . . . . 667

14.3 �§| . . . . . . . . . . . . . . . . . 67014.3.1 GMM�{ . . . . . . . . . . . 67014.3.2 GMM�XÚ�O . . . . . . . 67214.3.3 ~f . . . . . . . . . . . . . . 674

14.4 GMM�{ . . . . . . . . . . . . . . . 679

14.4.1 ìC5 . . . . . . . . . . . . . 679

14.4.2 ��^� . . . . . . . . . . . . 681

14.4.3 �ZóäCþ . . . . . . . . . 683

14.4.4 ~f . . . . . . . . . . . . . . 683

14.5 ¡�êâ . . . . . . . . . . . . . . . . 687

14.5.1 GMM�{ . . . . . . . . . . . 687

14.5.2 ~f . . . . . . . . . . . . . . 692

14.5.3 Ä��. . . . . . . . . . . . . 696

14.5.4 DPD~f . . . . . . . . . . . 699

14.6 �( . . . . . . . . . . . . . . . . . . . 705

111��ÊÊÊùùù ��OOO��{{{ 709

15.1 ��q,�O . . . . . . . . . . . . . 71115.1.1 ��q,�n . . . . . . . . . 71115.1.2 �O�{ . . . . . . . . . . . . 71415.1.3 u��{ . . . . . . . . . . . . 71915.1.4 ëê� . . . . . . . . . . . . 721

15.2 A^¢~ . . . . . . . . . . . . . . . . 72415.2.1 AR(1) . . . . . . . . . . . . . . 72415.2.2 GARCH(1,1) . . . . . . . . . . 72915.2.3 ARCD . . . . . . . . . . . . . 73215.2.4 õ�ÀJ�. . . . . . . . . . 73615.2.5 G�=��. . . . . . . . . . 73915.2.6 Gamma©Ù . . . . . . . . . . 748

15.2.7 u� . . . . . . . . . . . . . . 75315.3 ¦^éêq,é� . . . . . . . . . . . 759

15.3.1 �½ . . . . . . . . . . . . . . 75915.3.2 �O . . . . . . . . . . . . . . 76415.3.3 éêq,é� . . . . . . . . . 765

15.4 �ëê�O . . . . . . . . . . . . . . . 76715.4.1 ��ã . . . . . . . . . . . . . 76715.4.2 �Ý¼ê�O . . . . . . . . . 77115.4.3 Ø�O . . . . . . . . . . . . . 77515.4.4 C�{ . . . . . . . . . . . . . 77715.4.5 �( . . . . . . . . . . . . . . 779

15.5 �( . . . . . . . . . . . . . . . . . . . 780

111��888ùùù lllÑÑÑÚÚÚÉÉÉ��ÏÏÏCCCþþþ��... 785

16.1 ��ÀJ�. . . . . . . . . . . . . . 786

16.1.1 nØ£� . . . . . . . . . . . . 786

16.1.2 A^©Û . . . . . . . . . . . . 788

16.1.3 u�Úýÿ . . . . . . . . . . 793

16.1.4 �.�O . . . . . . . . . . . . 796

16.2 üSÀJ�. . . . . . . . . . . . . . 800

16.2.1 nØ£� . . . . . . . . . . . . 800

16.2.2 �.�O . . . . . . . . . . . . 801

16.2.3 A^©Û . . . . . . . . . . . . 804

16.2.4 ýÿ . . . . . . . . . . . . . . 806

16.3 Oê�. . . . . . . . . . . . . . . . . 810

16.3.1 nØ£� . . . . . . . . . . . . 810

viii

16.3.2 �.�O . . . . . . . . . . . . 81216.3.3 A^©Û . . . . . . . . . . . . 815

16.4 �ä£8�. . . . . . . . . . . . . . 81916.4.1 nØ£� . . . . . . . . . . . . 81916.4.2 �.�O . . . . . . . . . . . . 82116.4.3 u�Úýÿ . . . . . . . . . . 825

16.5 "�£8�. . . . . . . . . . . . . . 829

16.5.1 nØ£� . . . . . . . . . . . . 829

16.5.2 �.�O . . . . . . . . . . . . 830

16.5.3 u�Úýÿ . . . . . . . . . . 833

16.6 �( . . . . . . . . . . . . . . . . . . . 838

VI NNN¹¹¹

NNN¹¹¹ A EViewsééé�� 845

A.1 ã/ . . . . . . . . . . . . . . . . . . . 846A.1.1 Mïã/ . . . . . . . . . . . . 846A.1.2 ½�ã/ . . . . . . . . . . . . 848A.1.3 ã/�� . . . . . . . . . . . . 857A.1.4 �<Ú�Ñ . . . . . . . . . . 858A.1.5 �( . . . . . . . . . . . . . . 858

A.2 L� . . . . . . . . . . . . . . . . . . . 860A.2.1 MïL� . . . . . . . . . . . . 860A.2.2 WL . . . . . . . . . . . . . . 860A.2.3 �ªzL� . . . . . . . . . . 861A.2.4 �<Ú�Ñ . . . . . . . . . . 865A.2.5 �( . . . . . . . . . . . . . . 866

A.3 Ý . . . . . . . . . . . . . . . . . . . 867A.3.1 Ýé� . . . . . . . . . . . . 867A.3.2 ÀãÚL§ . . . . . . . . . . 869A.3.3 L�ª . . . . . . . . . . . . . 870A.3.4 D� . . . . . . . . . . . . . . 872A.3.5 Ýö� . . . . . . . . . . . . 876A.3.6 ÝÚÌ� . . . . . . . . . . 878A.3.7 ·-Ú¼ê . . . . . . . . . . 879A.3.8 �( . . . . . . . . . . . . . . 881

A.4 S�é� . . . . . . . . . . . . . . . . 882A.4.1 FÏS� . . . . . . . . . . . . 882

A.4.2 gÄS� . . . . . . . . . . . . 882A.4.3 g#S� . . . . . . . . . . . . 882A.4.4 iÎGS� . . . . . . . . . . 883A.4.5 �( . . . . . . . . . . . . . . 884

A.5 �N� . . . . . . . . . . . . . . . . . 885A.5.1 ~f . . . . . . . . . . . . . . 885A.5.2 �N�é� . . . . . . . . . . 886A.5.3 �( . . . . . . . . . . . . . . 887

A.6 ó�é� . . . . . . . . . . . . . . . . 888A.6.1 ïáÚ�½ . . . . . . . . . . 888A.6.2 ªÇ=� . . . . . . . . . . . . 889A.6.3 �éÜ¿ . . . . . . . . . . . . 892A.6.4 n)ó� . . . . . . . . . . . . 897A.6.5 �'ö� . . . . . . . . . . . . 899A.6.6 ¡�ó�� . . . . . . . . . . 900A.6.7 �( . . . . . . . . . . . . . . 903

A.7 EViewsêâ¥ . . . . . . . . . . . . . 904A.7.1 Ä�ö� . . . . . . . . . . . . 904A.7.2 Ä�Vg . . . . . . . . . . . . 905A.7.3 �� . . . . . . . . . . . . . . 906A.7.4 �o . . . . . . . . . . . . . . 910A.7.5 Üêâ¥ . . . . . . . . . . 911A.7.6 �( . . . . . . . . . . . . . . 911

NNN¹¹¹ B ÚÚÚOOO©©©ÛÛÛ 913

B.1 Ä�ÚOÚu� . . . . . . . . . . . . 914

B.1.1 £ã5ÚO . . . . . . . . . . 914

B.1.2 {üb�u� . . . . . . . . . 918

B.1.3 ²�©Ù�u� . . . . . . . . 921

B.1.4 BDSu� . . . . . . . . . . . . 922

B.1.5 �( . . . . . . . . . . . . . . 924

B.2 G!N� . . . . . . . . . . . . . . . . 925

B.2.1 £Ä²þ{ . . . . . . . . . . 925

B.2.2 X12{ . . . . . . . . . . . . . 927

B.2.3 Tramo/Seats . . . . . . . . . . 928

B.2.4 Tramo/Seats vs. X12 . . . . . . 929

B.2.5 �( . . . . . . . . . . . . . . 930

B.3 ²wÚÈÅ . . . . . . . . . . . . . . . 931

B.3.1 ²w . . . . . . . . . . . . . . 931

ix

B.3.2 Hodrick-PrescottÈÅì . . . . 935B.3.3 ªÇÈÅ . . . . . . . . . . . . 937B.3.4 �( . . . . . . . . . . . . . . 938

B.4 õ�ÚO©Û . . . . . . . . . . . . . 939B.4.1 ã/ . . . . . . . . . . . . . . 939B.4.2 ÚOL . . . . . . . . . . . . . 940B.4.3 à5u� . . . . . . . . . . . . 942

B.4.4 Ì¤©©Û . . . . . . . . . . 944B.4.5 �( . . . . . . . . . . . . . . 946

B.5 ÚOã . . . . . . . . . . . . . . . . . 947B.5.1 ²�©Ù . . . . . . . . . . . . 947B.5.2 QQã . . . . . . . . . . . . . . 948B.5.3 Ýã . . . . . . . . . . . . . . 951B.5.4 �( . . . . . . . . . . . . . . 952

NNN¹¹¹ C ÀÀÀ�� 955

C.1 �� EViews . . . . . . . . . . . . . . 956C.1.1 �Û�� . . . . . . . . . . . . 956C.1.2 ��©� . . . . . . . . . . . . 957

C.2 �OÚ¦) . . . . . . . . . . . . . . . 959C.2.1 �OÚ¦)À� . . . . . . . . 959C.2.2 �êO� . . . . . . . . . . . . 960

C.2.3 ��5�§|¦) . . . . . . 961

C.3 `z�{ . . . . . . . . . . . . . . . . 963

C.3.1 ��ê{ . . . . . . . . . . 963

C.3.2 ��ê{ . . . . . . . . . . 964

C.3.3 Ú� . . . . . . . . . . . . . . 964

NNN¹¹¹ D EViews###�� 967

D.1 ��# . . . . . . . . . . . . . . . . 968D.1.1 EViews 6 . . . . . . . . . . . . 968D.1.2 EViews 7 . . . . . . . . . . . . 971D.1.3 EViews 7.1Ú 7.2 . . . . . . . 979D.1.4 ��©� . . . . . . . . . . . . 982

D.2 EViewsé� . . . . . . . . . . . . . . 984D.2.1 ÑÑ+n . . . . . . . . . . . . 984D.2.2 iÎG . . . . . . . . . . . . . 989

D.3 Ïf©Û . . . . . . . . . . . . . . . . 992D.3.1 nØ£� . . . . . . . . . . . . 992D.3.2 A^¢~ . . . . . . . . . . . . 998D.3.3 Ïfé� . . . . . . . . . . . . 1006

D.4 2Â�5�. . . . . . . . . . . . . . 1012D.4.1 nØ£� . . . . . . . . . . . . 1012D.4.2 �.�O . . . . . . . . . . . . 1017D.4.3 A^©Û . . . . . . . . . . . . 1027

D.5 © ê£8 . . . . . . . . . . . . . . . 1030D.5.1 nØ£� . . . . . . . . . . . . 1030D.5.2 �.�O . . . . . . . . . . . . 1031D.5.3 A^©Û . . . . . . . . . . . . 1035

D.6 õ� GARCH . . . . . . . . . . . . . . 1038D.6.1 nØ£� . . . . . . . . . . . . 1038D.6.2 �.�O . . . . . . . . . . . . 1043D.6.3 A^©Û . . . . . . . . . . . . 1050

D.7 GMM�{ . . . . . . . . . . . . . . . 1054D.7.1 �Ï�� . . . . . . . . . . . . 1054D.7.2 GMM�O . . . . . . . . . . . 1057D.7.3 óäCþ��äÚu� . . . . 1062

D.8 COMgÄz . . . . . . . . . . . . . . 1066D.8.1 COMÑÖì . . . . . . . . . . 1066D.8.2 COM�rà . . . . . . . . . . 1072

D.9 �( . . . . . . . . . . . . . . . . . . . 1077

=Çâ�éì . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1085¢ Ú . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1093

x

L�8¹

1.1 ó�©��ªÇa. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23

1.2 ó�©��Ñ�Ü©�a. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26

2.1 $�ÎÒ�`k^S . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53

2.2 AÏ�L�ª . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55

2.3 ¹k"��'X$�ÚÜ6$� . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61

2.4 EViews�ó�·-ÚÄ:¼ê . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82

2.5 iÎG¼ê . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86

2.6 FÏ¼ê . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89

2.7 ó�©�¼ê . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102

3.1 �§é��¤¼ê . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 146

7.1 ü �u� . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 307

9.1 ¡�(�²ï�{'� . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 402

9.2 ó�©�¼ê£¡�(�¤ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 405

9.3 ¡�ü �u� . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 442

11.1 ��u� . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 547

12.1 KalmanÈÅ�Cþ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 571

15.1 Xê�åu� (��q,�O) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 720

15.2 ~^�Ø¼ê . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 772

A.1 ~^ôÚ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 852

A.2 ê��w«�ª . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 862

A.3 Ýé�m�D� . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 875

A.4 ªÇ=�À�� . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 891

A.5 ¿À� . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 895

D.1 Ø¼ê (ª�) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1055

xi

êÆÎÒ

LaTeXü�êÆúªÃ¦´�{*�§{' �ß�êÆL«r?�6ÚÆS"�d§�ùÂéê

Æúª�ü�?1În§ÐÚ/¤XeêÆü�5K§ãå¥yÑ�*��êÆÎÒ"

N~

¦^ØÓ�iN5«©êÆÎÒ�a.§~X H , HÚ H©OL«Iþ H!ÝHÚ8Ü H"

Iþµæ^ÊÏêÆiN§iÎ��=©i1±9��F1i1§X x, K Ú β �"Xe�Î

ÒäkAÏ¹Â

• Cþµ`L«éêq,� (log likelihood)

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ÝÚ�þµ^êÆçN (bold face)½öêÆoN (boldsymbol)L«§�þÏ~��i1½ö

F1i1§ Ý^��i1"~X

X =

x11 x12 · · · x1K

x21 x22 · · · x2K

......

. . ....

xT1 xT2 · · · xTK

=

x′1x′2...

x′T

T×K

=[x1 x2 · · · xK

]T×K

�«©êÆçN xÚêÆoN x�ØÓ¹ÂµêÆçN xt�ÝX1 t1�=�§ êÆoN xk K�

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• �þÑ%@��þ§� x′ Ú x′�1�þ§Ù¥§Ò (prime)L«=�

• MatlabL«{µ�!��m§[x1;x2; · · · ;xK ]L«��þ§ [x1;x2; · · · ;xK ]′, [x1 x2 · · · xK ]

±9 [x1, x2, · · · , xK ]L«1�þ"Ïd§XJA = [8 1 6; 3 5 7; 4 9 2]§@o

vec(A) = [8 3 4 1 5 9 6 7 2]′ vech(A) = [8; 3; 4; 5; 9; 2]

Ù¥ vec(A)éÝA?1�þz§vech(A)KU�æÈÝA�en�

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xxiii

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ê)§��ùÂ¥ log (x)Ú ln (x)ÑL«g,éê

• N(x)�LIO��©Ù�\È�Ý¼ê

• «5¼ê (indicator function)µ¼ê 1 (·) �ëê�ý�� 1§ÄK� 0"~X� x = 7.2 �§¼

ê 1 (x > 0)�� 1§1 (x ∈ N)�� 0

• õ�5µÓ�¼ê¶éØÓ�ëêÚ�£�a.§Ù¼êõU�AN�"~X¼ê diag (·)�)é

�Ý½ö�Ñé��þ

D = diag (d) = diag (d1, d2, · · · , dT ) d = diag (D)

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D = diag (V)

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−∞f (x) dx = 1

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= x2

VÇ P (x < 0) ��¤ Pr (x < 0)"~^ö�Î`²

• �©µ²LOþÆ¥§∆��©�f§∆yt = yt − yt−1

• ¢�µ�f LL«¢�§= Lyt = yt−1§�∆yt = (1− L) yt

• Ï"µE (y)L« y �êÆÏ"§var (y)� y ��"x� y ��P� cov (x, y)§y 'u x�

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Cþ

½5Cþ, 151

óäCþ, 163, 683

OêCþ, 810

)ºCþ, 151

lÑÏCþ, 785

S)Cþ, 163

c½Cþ, 163

d3Cþ, 787

É�ÏCþ, 785

)Cþ, 163

åCþ, 151

ÏCþ, 141

¢�ÏCþ, 206

Cþ?§, 48

Iþ, 48

§SCþ, 52

��Cþ, 49

��Cþ, 50

iÎGCþ, 49

H{�, 295

H{²�, 296

Iþ, 48

1× 1Ý, 58

I£, 21

I5, 855

��I, 856

©�, 855

�^, 855

ÒK, 855

IO�, 914

IOzí�, 162, 255, 260, 270,578, 788, 1016, 1038,1052

2ÂØ�©Ù, 256

t©Ù, 255

��©Ù, 255

IOzXêÚ�5, 977

L�ª, 54, 870

Cþ, 48

~þ, 48

�c!¢�Ú�©, 59

ÝL�ª, 870

AÏ�L�ª, 55

S�L�ª, 54

��L�ª, 117

$�Î, 52

L�ªýÿ, 208

8IS�, 208

ýÿIO�, 210

¢�ÏCþ, 209

gÄS�, 208

g#S�, 210

L�ª{, 139

L�, 860

�µ, 863

>µ, 863

éàÚ ?, 863

�ªz, 861

1p, 862

1��, 861

Ü¿, 864

~f, 865

�°, 862

��·-®o, 866

ê��ª, 862

WL, 860

5º, 864

iN��, 863

L�é�, 860

Mï, 860

�<Ú�Ñ, 865

¢Ú 1095

LãÀã, 138, 360, 454, 529,970, 1047

O¶, 619

é�, 908

�µ©Û, 619

êâ¥, 904

ÅÄ+8, 253, 259

Ñt©Ù, 810

Ñt£8�., 810

Ø�*ÿ¤©, 336, 341, 369

@effects¼ê, 362, 371

effects·-, 425

Ø�*ÿ�A, 333

Ú�, 964

'~Ïf, 964

�1��, 964

CC-SUR, 376

CCC-GARCH �., 1041, 1046,1048

cell identifier, 394

CGARCH�., 281

�Ï¤©, 281

áÏ¤©, 281

Cholesky ©), 159, 380, 510,521, 555, 722

Chowu�, 195

Chowýÿu�, 196

nØ£�, 195

Chowýÿu�, 196

Clevelandf��{, 779

COMgÄz

EViews COMÑÖì, 1066

EViews COM�rà, 1066

Constant Probabiliy, 791

Coxu�, 218

Cox��ÚOþ, 218

O��{, 219

f§S, 219

CSV©�, 26, 35, 865

CUSUMu�, 211

CUSUMSQu�, 211

à}í�, 834

ëê�, 717, 721

ëê��O, 723

Delta�{, 723

��O, 722

�K��, 721

VÇ, 723

Û�, 723

«m��, 722

ëêD4, 70–72

ëê�{, 709

ëê�m, 711

í�

IOzí�, 255, 788, 812,821, 830, 1016

L�Àã, 14

à}í�, 834

í�ã, 13

48í�, 211

ó©í�, 1016

2Âí�, 788, 801, 821,830, 1016

(�í�, 225, 233, 260

Pearsoní�, 812, 1016

ÊÏí�, 255, 788, 812,821, 830, 1016

í�u�, 190

ARCH LMu�, 192

Breusch-Godfrey LM u�,190

Ljung-Box QÚOþ, 191

Whiteu�, 193

��5u�, 190

í�²��'ã, 191

��, 6, 979ARMA�.ÀJ, 980

L��Ñ� LaTeX, 980

�§�O(J®oL, 979

�¦êâe1, 980

�^�ÏÒKI5, 981

��, 972

�©, 60

�©�f, 236

éê�©, 236

G!�©, 236

~þ, 48

�G, 48

NA, 48

VÚÒ, 48

�PÁL§, 296

�Ï��, 296, 653, 976�Ï��Ý, 1054

/ , 1054

Ø�O, 665, 1054

�°, 1055

ls, tsls Ú gmm ·-��

OÀ�, 1056

VARHAC�{, 1056

ýxzØ�O, 1056

�Ï��, 557

�c, 59

'�i to, 59

¡�ó��, 414

§SCþ, 52

ó�©�, 81

��L�ª, 116

^u½Âg#S�, 130

§Sëê, 79

§S�1�ª, 78

�, 154

½��<ÑÑ, 33, 34, 987

Ð©�, 959

�§|, 479

��5�§, 173

ML�O, 764

��, 959

Ø��, 486

I°,��°

DDCC-GARCH�., 1041

Delta�{, 723

demo.prg, 7

demo7s.prg, 986

DFu�, 302

DF-GLSu�, 304

~f, 312

DGP, 294

DGP£O, 317

DGPa., 318

DGPidf§S, 548

G!5, 322

1096 ¢Ú

~f, 319

¡�ü �u�, 447

G78ì, 449

IBMúi, 447

DWÚOþ, 144, 228b�cJ, 228

�<, 33

½�, 33

gÄ�<, 34

�<��, 956

L�, 956

ã/, 956

�°, 308, 772, 1055

AndrewsgÄ�°, 666

Newey-West�½�°, 666

Newey-WestgÄ�°, 666

�°|, 773

�ÏÈÅì, 937

é¡ÈÅì, 937

�é¡ÈÅì, 937

ªÇ�A¼êã, 938

üÚýÿ, 203

ü �L§, 297

�3��Ï, 293

ü �u�, 301

ADFu�, 301

DF-GLSu�, 304

DGPa., 318

DGP£O, 317

µØ, 320

ERSu�, 305

G!5, 321

u��{'�, 314

KPSSu�, 303

~f, 310

éÜu�, 320

"b�, 301

"ªÇªÌ�O, 307, 315,325

¡�êâ, 437

NPu�, 306

PPu�, 303

(½5)Cþ, 314

n«�½, 301, 325

k��A5, 317

¢��ê, 309, 316, 325

o(, 307

ü óÀ�A¼ê, 516

üÏ��éL, 916

ü��ê, 236, 296

ü�ê²w, 931

�c*ÿ8, 110

�c��8,�ó��8, 110

'� ó��*ÿ��,104

�ê�, 233, 235, 504

AR�, 246

Ø�_�, 235

uÑ�, 235

MA�, 246

�í�{, 244

ARCH�., 263

õ� GARCH�., 1049

MA�, 244

�êO�, 960

ü>�©{, 960

é')Û¦�Úê�¦�

(J, 750

�§|, 479

��5�§, 172

°(ê�O�, 961

¯�ê�O�, 960

Richardson�{, 961

48í�, 211

48u�, 550

48��¦�O, 211

CUSUMu�, 211

CUSUMSQu�, 211

üÚýÿu�, 214

48í�, 211

NÚýÿu�, 214

4íXê, 586

½�, 33

½5Cþ, 151, 786

Ä�D�, 56

Ä�¡�êâ�., 696

Anderson-Hsiao�O, 704


GMM�O, 696

óäCþ, 702

�.�½, 696

êâC�

�©{, 697

~f, 702

��l�{, 698

Ä�ýÿ, 204, 598

k AR�, 208

k¢�ÏCþ, 206

áÏ��, 552

ä:u�, 214, 968Ø��, 214

Chowu�, 195

Chowýÿu�, 196

GMM�O, 1065

WaldÚOþ, 214

æUêâ,�êâæU

U�NæU, 362

U�ÏæU, 362

(�z¤¡�(�, 396

æU/ª, 337

¡�êâ�.

U�NæU, 337

U�ÏæU, 337

�5�§|

U�§æU, 461

U*ÿæU, 461

é¡Ýé�

ü��D�, 873

fillD�, 874

é{µ, 974

éêq,é�

éêq,¼ê��½, 759

L§, 766

¼ê, 766

Û�5, 763

Àã, 765

éêq,�z�, 712, 1014, 1038

éêq,¼ê, 257, 712ëê, 760

�ê�½

)Û�ê, 763

ê��{, 762

'�i, 760

�½, 759

�ä

¢Ú 1097

�wFÝ�, 765

é')Û¦�Úê�¦

�(J, 750

�1^S, 761

éêq,�, 144, 468, 501, 712é�, 30

EViewsé�, 40

E�, 122

¡�é�, 38

õÚ�cýÿ, 597

õÚýÿ, 204, 597

õ��éL, 941

õ�ª©Ù¢�, 155

õ��5¯K, 158

Cà��, 156

nØ£�, 155

pdlL�ª, 156

Waldu�, 157

�à��, 156

õ�ÀJ�., 736

õ�ó�©�, 93

õ� GARCH�., 286, 1038arch·-, 1047

BEKK-GARCH�., 1040

IOzí�, 1038, 1051

CCC-GARCH�., 1041

DCC-GARCH�., 1041

�í�{, 1049

éêq,�z�, 1038, 1052

�é¡�, 1042

u�, 1052

MEGARCH�., 1042

MGARCH(p, q), 1042

�.�½, 1038

8I��, 1041

^��'Xê, 1050

^��ï�, 1039

VECH-GARCH�., 1039

Ïf GARCH�., 1038

ýÿ, 1053

õ�ÚO©Û, 939

õ��éL, 941

õS�à5u�, 942

©|à5u�, 943

Ñ:ã, 939

êâ®oL, 940

��©Û, 969

Ïf©Û, 992

Ì¤©©Û, 944

õ��5£8, 141

õiÎCþ, xxiv

EEGüÚ{, 307, 538

EGARCH�., 275

ERSu�, 305

~f, 313

Euler-Mascheroni~ê, 823

EViews, 4

?§�ª, 5

?6I��1�è, 9, 78

é�, 40

ó�«, 4

¼��Ï, 6

�p�ª, 4

·-, 124

·-I�, 4, 971

·-�ª, 4

éÄ¿�1§S©�, 5, 8,78, 79

éÄÚòÑ, 5

¢~N�, 7

´�?§�, 4

Twitter, 6

*½�, 971

#��0�, 967

^rØ�, 6

G�9, 4

EViews?§, 47, 134

L�ª, 48, 54

L�, 128

��, 6, 979, 981

é{µ, 974

FORÌ�, 65

D�, 55

pªêâ, 972

ó��8, 110

¼ê, 125, 969, 975, 976

IF�é, 63

oN¯K, 970, 978

6§��, 63

·-Ú¼ê, 81, 82

prg©�, 76

FÏ, 87

F�, 973

�Åêu)ì, 124

�Åê¼ê, 125

Ï�Î, 126

ã/, 129

WHILEÌ�, 68

Ü��, 974

5º, 77

f§S, 69

g#S�, 129

iÎG, 83


�{, 1067

��, 1066

Û�, 1071

Matlab��rà

ARCH�., 1068

�ÅÅÄÇ�., 1070


��·-, 1072

MATLAB��ÑÖì, 1072

Åì5UÿÁ, 1072

)Û¦�, 1072

A�õ�ª¦), 1073

R��ÑÖì, 1074

DSGE�.�ý, 1076

statconnDCOM@�, 1074

$1 R §S, 1075

EViewsé�, 40, 984

ö�, 37

�{, 39

©a, 40

E�, 34

�¶, 34

ú^é�, 41

L§, 39

Oþ�{é�, 40

·¶5K, 31

íØ, 35

Àã, 39

êâé�, 40

1098 ¢Ú

?UI\, 35

�g÷·{, 963

�gÃ �O, 345

��©Ù�., 1024

��ÀJ�., 786

binary�O·-, 796

>S�A, 787

í�, 788

Ñ�?n, 799

éêq,¼ê, 786

GLM��O, 797

VÇ�A�, 792

�O(JÑÑ`², 788

Huber/White��O, 797

nØ£�, 786

NLS�O, 798

[Ü`Ýu�, 793

Ï"—ýÿL, 791

d3Cþ, 787

^�VÇ, 786

É��u�, 795

ýÿ, 795

�ê�, 795

�ê�, 786

FF ÚOþ, 145

¡�êâ�., 426

Fair-Taylor�{, 637

FGLS�O, 160, 375, 465

C-SUR, 376

�NÉ��, 375

î�¡qØ�', 376

P-SUR, 375

�ÏqØ�', 375

�ÏÉ��, 376

FIGARCH�., 285

fillD�, 873

é¡Ýé�, 874

Ýé�, 873

S�é�, 31

FIML�O, 468

Fisher&EÝ, 716

Fisher-ADFu�, 441

Fisher-PPu�, 441

FORÌ�, 65

i@, 66, 67

ê�Ì�Cþ, 65

aÑÌ�, 69

^å, 67

iÎGÌ�Cþ, 66

õ�iÎG, 66

FPEOK, 506

FREDêâ¥, 972

�æU, 363

�æUI£, 364

*ÿI£, 364

��'u�, 976

��¤©�O, 345

��©), 521

Cholesky^S, 522, 524

²L)º, 522

��©), 521

��O

BHHH�O, 721

ëê�, 722

Y%�Oþ, 715

OPG�O, 721

n«�O, 720, 1015

��u�, 919

��)äÏf, 977

��è�O, 148

GLM��O, 797, 1016

HAC�O, 148

Huber/White�O, 797, 1016

¡�êâ�., 383, 429

PCSEè�O, 384

C-SUR, 384

P-SUR, 384

White�O

Whiteé��{, 383

Whiteî�¡{, 383

White�Ï{, 383

White HC�O, 148

�§é�, 145

í�, 146

Mï, 147

�O�{, 145

L§, 146

¼ê, 146, 975

Àã, 145

Xê, 147

��£8, 977

�§�½

L�ª{, 139

~ê�, 139

éê/ª�Ð?, 178

�§|, 472

úª{, 139

¼ê/ª, 178

VCþ, 178, 179

¡�ó��, 434

¶ü{, 139

�½�{'�, 140

¦^+é�, 139

êâC�, 178

Ø��, 139, 140

Xê�å, 140

�§|, 460

�êÀã, 479

é'¡�êâ�., 382,461, 478

FGLS�O, 465

FIML�O, 468

�§�½, 472

��5�§|, 469

GMM�O, 670

óäCþ�½, 473

�O, 474

Ð©�¯K, 479

�O(J'�, 477

Ù¦`², 481

ÛÉ�§|, 473

SOLS�O, 463

SUR�O, 467

FÝ, 479

Xê��, 469

XÚÓ��b�, 466

�5�§|, 460

�§|��(�, 462

�§mÉ��, 462

�§mÉ��ÓÏ�',462

²;�., 462

|mÉ��, 462

¢Ú 1099

�§|é�, 471, 482�O�{, 483

L§, 483

¼ê, 483

Àã, 483

�ëê�O, 767

Ø�O, 775

ÛÜõ�ª£8, 775, 777

�Ý¼ê�O, 771

��ã, 767

�é¡ t©Ù, 286

�é¡�, 280, 281

�²ï¡�êâ

~f, 353, 422

�i@�.u�, 217

��5�§|¦), 961

Broyden{, 962

�§|©¬, 961

Gauss-Seidel{, 961

Úî{, 961

��5�., 169

GMM�O, 685

¡�êâ, 433

��5��¦�O, 169

AR�, 172

Ð©�, 171

�êÀã, 172

�§��½, 170

�O¥�¯K, 173

nØ£�, 169

ü�ã, 170

FÝÀã, 172

©¬£8, 335, 370

© ê, 947

© ê£8, 1030

üX/{, 1033

��Çu�, 1037

é¡© êu�, 1036

��Ý�O, 1031, 1034

© êL§, 1035

¼ê, 1035

nØ£�, 1030

S:{, 1033

qreg·-, 1033

DÕ¼ê, 1031

Xê6§ã, 1036

�55y, 1031

©|à5u�, 943

©|ÚO, 916

õ�©|I£, 918

��©|, 917

¡�ó��, 415

�þ�, 415

¸Ý, 915

¸�, 915

CXCþ, 619

D�, 55

Ä�D�, 56

8IS�, 56

�N5, 57

ÛªD�, 56

EÜØ�, 344

E�, 122

ó��m, 122

ó�é�, 122

�éÜ¿, 122

ªÇ=�, 122

+é�, 123

g#S�, 122

K��©Ù, 811

K��£8�., 811

GGARCH�.,� ARCH�.

õ� GARCH�., 1038

GARCH�, 258

GARCH�A, 261, 271, 282

u�, 272

GARCH(1,1)�., 258

ARCH�, 258

GARCH�, 258

ML�O¢~, 729

^��§, 258

^��ýÿ, 267

Gauss-Markovb�, 142

Gauss-Newton{, 964

Gauss-Seidel{, 961

GDP

�Ï¤©, 936, 938

±Ï¤©, 936, 938

GIV�{, 376

GJR-GARCH�., 273

GLM,�2Â�5�.

GLM��O, 797

GMM 3SLS�O, 674

GMM�O, 1057

2SLS\�Ý, 655


�°K�, 669, 686

S��{, 664, 1058

Ä�¡�êâ�., 696

ä:u�, 1065

��O, 665, 1059

xzý?n, 667

�°, 666

Ø¼ê, 665

À��, 667

��5�., 685

Gamma©Ù, 684, 751

GMM \�Ý, 655, 680,1059

2Âí��§, 681

J u�, 655

Ä�g�, 651

b�^�, 679

ü�§, 653

�§|, 671

u�, 681

ìC��, 680

¡�êâ, 687

8I¼ê, 654, 680

S)5u�, 1064

î.�§�O, 663

fóäCþ�ä, 1063

��^�, 652, 670, 681

��5u�, 1062

g½Â GMM\�Ý, 977

�ZóäCþ, 683

�`\�Ý, 655, 672

GMM�Oü�§

gmm·-, 664

GMM� 2SLS, 657

GMM� GLS, 656

GMM� NLS, 657

GMM� OLS, 656

1100 ¢Ú

b�^�, 653

oN¯K, 978

Xê�O, 654

�5�§, 652

GMM�O�§|, 670

gmm·-, 677

GMM� 3SLS, 673

GMM� FGLS, 672

GMM� S2SLS, 673

GMM� SOLS, 672

óäCþ, 670

b�^�, 671

Xê�O, 671

Goldfeld-Quandt{, 963

Gompit�., 786

GrangerL«½n, 527

GrangerÏJ'Xu�, 188

Granger�Ï, 188

��Ù§)Cþ, 189

VAR�., 507

group identifier, 394

VÇ�.

��ÀJ�., 786

VÇýÿ, 795, 807

�5VÇ�., 786

VÇ�A�, 792

Z6²w

KalmanÈÅ, 573

G��m�., 591

Z6�, 225, 584

m\�A, 273

'� EGARCHÚ TGARCH�., 278

áÏm\�A, 281

EGARCH�., 275

®Ç, 278

PGARCH�., 280

TGARCH�., 273

pªêâ, 972

�ª��, 121

�NI£, 349, 354, 355, 394

�N�A, 336

�NS�, 354, 357�NÉ��, 375

ó©, 713

óäCþ, 165, 670

Ä�¡�êâ�., 702–704

ü��¦, 163

S)5u�, 1064

fóäCþ�ä, 1063

�S)Cþ �', 166

��5u�, 1062

�ZóäCþ, 683

óäCþ�½, 167, 168

~ê, 167

�§|, 473

¡�êâ�., 381

óäCþ{, 163

2SLS�O, 163

¡�êâ�., 378, 428

g�, 163

ó�©�, 21

��, 25

��ª��, 956

§SCþ, 81

lÜêâMï, 26–28

�m, 21

õó��, 93

pªêâ, 972

ó��, 21

'4, 22

*ÿ��, 104

5KFÏ, 23

¼ê, 100

Ä�Vg, 21

oN¯K, 970, 978

ïá, 22

m©FÏÚ(åFÏ, 23

¡�ó�©�, 394

·-o(, 29

prg©�, 81

ªÇa., 23

Ã(�., 24

3�êâ, 28

ó�©�¼ê, 100, 102

Ä�&E, 100

~f, 103

¡�ó��, 404

ª³S�, 101

FÏS�, 100

ó��8, 110

¡�ó��, 409

�FÏ(�, 411

FÏ(�, 409

£þ, 112

Ä:FÏé, 112

O�5K, 114

FÏé, 110

AÏ¯K, 115

�� if^�, 114

ó��, 21, 93, 394

Mï

¦^I£S�, 98

�c��8, 104

E�, 94

ó��&E, 99

*ÿ��, 104

+n, 95

¼ê, 100, 404

·-o(, 108

üS, 106

FÏ(�, 107

íØ*ÿ, 105

��¹Äó��, 95

Üêâïá, 94

?U*ÿ��, 103

�¡(�, 96

��ïá, 93

J\*ÿ, 105

ó��(�,��¡(�

úª{, 139

��5�§��½, 170

lÑÚÉ�ÏCþ�., 838

ú^é�, 41

�O�{

�ëê�{, 709

ëê�{, 709

�ëê�{, 709

{µ, 709, 710

�O��, 145

"��, 145

�½, 145

gÄN�, 13, 16, 145

�½�A, 341

óäCþ{, 379

¢Ú 1101

b�^�, 342

~f

�N�½�A, 350, 422

�Ï�½�A, 351

Xê�O, 341

��©C�, 343

^åCþ?1�O, 425

�½�AÚ�Å�A

Hausmanu�, 386, 432

�.ÀJ, 341, 348

Xê�O�'X, 347

�½�Au�, 386, 431

'X$�, 53

"��, 61

*ÿ?Ò, 86, 100, 112

*ÿI£, 96

«O*ÿ?Ò, 112

*ÿ:&EJ«, 973

*ÿ��, 104

'��c��8, 104

2Âí�, 788, 801, 812, 821,830, 1016

2Âí��§, 681

2ÂÝ�O,� GMM�O, 651

2ÂóÀ�A¼ê, 517

2ÂØ�©Ù, 256

2Â�5�., 1012

í�, 1016, 1027

;�ëê, 1012

��¼ê, 1013

��Ý�O, 1015, 1021

glm·-, 1018

¼ê, 1027

\�, 1016

u�, 1028

LRÚOþ, 1028

l Ý, 1014

lÑÝ, 1012, 1014, 1020,1021

nØ£�, 1012

ML�O, 1014

£�, 1017

QML�O, 1014

�½, 1013

©�L«, 1027

q�¼ê, 1013, 1019

�5�ê©Ùx, 1012

ýÿ, 1027

�ê�, 1028

5KFÏ, 23

L§, 39

LÝlÑ, 797, 811

LÝlÑ��½u�, 816

HHAC�O, 148, 665, 1057

¢��ä�ê, 149

Hadriu�, 439

Hausmanu�, 215, 386, 432

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Hodrick-PrescottÈÅì, 935

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çÜÝ, 715, 749, 963

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