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1、AdvancedTopicsinAnalysisofEconomicandFinancialDataUsingR1ZONGWUCAIa,bE-mailaddress:zcai@uncc.eduaDepartmentofMathematics&StatisticsandDepartmentofEconomics,UniversityofNorthCarolina,Charlotte,NC28223,U.S.A.bWangYananInstituteforStudiesinEconomics,XiamenUniversity,ChinaDecember14,2007c2007
2、,ALLRIGHTSRESERVEDbyZONGWUCAI1Thismanuscriptmaybeprintedandreproducedforindividualorinstructionaluse,butmaynotbeprintedforcommercialpurposes.PrefaceThisistheadvancedlevelofeconometricsand?nancialeconometricswithsomebasictheoryandheavyapplications.Here,ourfocusesareontheSKILLSofanalyzingre
3、aldatausingadvancedeconometrictechniquesandstatisticalsoftwaressuchasSASandR.ThisisalongthelinewithourWISE’sspirit“STRONGTHEORETICALFOUNDATIONandSKILLEXCELLENCE”.Inotherwords,thiscoursecoversbasicallysomeadvancedtopicsinanalysisofeconomicand?nancialdata,particularlyinnonlineartimeseriesmo
4、delsandsomemodelsrelatedtoeconomicand?nancialapplications.Thetopicscoveredstartfromclassicalapproachestomodernmodelingtechniquesevenuptotheresearchfrontiers.Thedi?erencebetweenthiscourseandothersisthatyouwilllearnstepbystephowtobuildamodelbasedondata(orso-called“l(fā)etdataspeakthemselves”)th
5、roughrealdataexamplesusingstatisticalsoftwaresorhowtoexploretherealdatausingwhatyouhavelearned.Therefore,thereisnoasinglebookservicedasatextbookforthiscoursesothatmaterialsfromsomebooksandarticleswillbeprovided.However,somenecessaryhandouts,includingcomputercodeslikeSASandRcodes,willbepro
6、videdwithyourhelp(Youmightbeaskedtoprintoutthematerialsbyyourself).Fiveorsixprojects,includingtheheavycomputerworks,areassignedthroughouttheterm.Thegroupdiscussionisallowedtodotheprojects,particularlywritingthecomputercodes.But,writingthe?nalreporttoeachprojectmustbeinyourownlanguage.Copy
7、ingeachotherwillberegardedasacheating.IfyouusetheRlanguage,similartoSPLUS,youcandownloaditfromthepublicwebsiteathttp://www.r-project.org/andinstallitintoyourowncomputeroryoucanusePCsatourlabs.YouareSTRONGLYencouragedtouse(butnotlimitedto)thepackageRsinceitisaverycon
