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1、誠(chéng)實(shí)考試吾心不虛，公平競(jìng)爭(zhēng)方顯實(shí)力，考試失敗尚有機(jī)會(huì)，考試舞弊前功盡棄。上海財(cái)經(jīng)大學(xué)《FinancialEconometrics》課程考試卷一課程代碼課程序號(hào)姓名學(xué)號(hào)班級(jí)題號(hào)一二三四五六七八九十總分得分Part1TermExplanation（20marks）1．WhiteNoise2．RandomWalk3．AkaikeInformationCriterion4．Jarque-BeraStatistic5．ChowTestImportantPoint：1．WhiteNoise：WhiteNoiseisthespecialcaseofstationarystochasticprocess.
2、Wecallastochasticprocesspurelyrandomorwhitenoiseifithaszeromean,constantvarianceandisseriallyuncorrelated.2．RandomWalk:Randomwalkmeansthatthestochasticprocessisnonstationaryandvalueofthisperiodishighlyrelatedtothepastvalues.Forexample,thestockpricetodaymayequaltheyesterday’spriceplusarandomshock.R
3、andomwalkwithoutdriftcanbeexpressedas3．AkaikeInformationCriterion:AICprovideawaytoselectthebetterregressionmodelamongseveralmodelsbycomparingtheirforecastperformance.ThelowertheAIC,thebettertheforecastperformancewillbe.AICwillalsobeusedtodeterminethelaglengthinARDLapproach.4．Jarque-BeraStatistic:T
4、heJarque-Beratestisthetestofnormality.Wefirstcalculatetheskewnessandthekurtosis,anditisalsobasedontheresidualoftheregression.TheJarque-BeraStatistic=,whereSistheskewnessandKisthe25kurtosis,nissamplesize,andfornormaldistribution,S=0,K=3,ifJBstatisticisnotsignificantlydifferentfromzero,pvalueisquite
5、low,werejectthenullhypothesisthattheresidualisnormallydistributed.5．ChowTest:Thetestofstructuralchangeoftheregression.Theestimateoftheparameteroftheregressionmaynotretainthesamethroughtheentiretimeperiod;weusetheChowtesttotestwhethertherelationshipisstableandfindthebreakpoint.ItdeveloptheFstatisti
6、cs=,thenullhypothesisistheregressionisstable.Part2Explainmainpurpose(s)ofconstructingfollowingtwomodelsandmakingcommentsontheempiricalresults.(25marks)1.GregoryChow(1966)whereM=naturallogarithmoftotalmoneystockYp=naturallogarithmofpermanentincomeY=naturallogarithmofcurrentincomeR=naturallogarithmo
7、frateofinterest2.TaylorandNewhouse(1969)本題答題要點(diǎn)：1。模型一的建模理念是準(zhǔn)備檢驗(yàn)凱恩斯和弗里德曼德貨幣需求理論，根據(jù)t統(tǒng)計(jì)量的結(jié)果，模型并沒有能明確說明支持或拒絕哪種理論；10分2。模型二也是準(zhǔn)備檢驗(yàn)凱恩斯和弗里德曼德貨幣需求理論，根據(jù)t統(tǒng)計(jì)量的結(jié)果，模型明確說明支持凱恩斯貨幣需求理論并拒絕弗里德曼德貨幣需求理論；10分3。模型二的特色之一是引入因變量的前一期做為自變量；2分4
