講者：Ahyee Lee
日期：2022-12-19
觀看: 2956
  • 00:00 1.
    Vector Autoregressive Model
  • 00:57 2.
    Autoregressive Models
  • 02:32 3.
    Vector Auto Regressive (VAR) Model
  • 05:49 4.
    There are three different types of VAR.
  • 08:13 5.
    (Reduced Form) VAR
  • 11:07 6.
    VAR
  • 16:10 7.
    Determining the length of lags
  • 18:16 8.
    Determining the Length of Lags
  • 20:42 9.
    Impulse Response Function
  • 22:37 10.
    An Example of Impulse Response Function
  • 23:43 11.
    Impact of 𝜀 1 𝜀 2 = 4 0
  • 24:27 12.
    An Example of Impulse Response Function
  • 24:53 13.
    Impact of 𝜀 1 𝜀 2 = 4 0
  • 25:01 14.
    An Example of Impulse Response Function
  • 25:37 15.
    Impact of 𝜀 1 𝜀 2 = 4 0
  • 28:17 16.
    Impact of 𝜀 1 𝜀 2 = 0 5
  • 29:56 17.
    A Non-Stationary VAR
  • 33:27 18.
    Condition for Cointegration (1)
  • 34:31 19.
    Condition for Cointegration (2)
  • 35:32 20.
    An Example
  • 35:50 21.
    VAR under Co-integration
  • 38:04 22.
    VAR under Co-integration
  • 38:06 23.
    VAR under Co-integration
  • 38:06 24.
    An Example
  • 38:07 25.
    VAR under Co-integration
  • 38:33 26.
    VAR under Co-integration
  • 38:54 27.
    VAR under Co-integration
  • 38:59 28.
    VAR under Co-integration
  • 38:59 29.
    Johansen’s test for Co-integration
  • 39:01 30.
    VAR under Co-integration
  • 40:09 31.
    Johansen’s test for Co-integration
  • 41:53 32.
    Granger’s Representation
  • 42:37 33.
    An Example: Greek CDS
  • 52:40 34.
    An Example: Greece CDS and BY
  • 56:17 35.
    RATS Program for DK tests
  • 57:57 36.
    𝐶𝐷𝑆 𝑡 =𝑎 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
  • 58:25 37.
    ∆𝐶𝐷𝑆 𝑡 =𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
  • 59:22 38.
    ∆𝐶𝐷𝑆 𝑡 = 𝑎 0 +𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
  • 59:28 39.
    ∆ 𝐶𝐷𝑆 𝑡 = 𝛼 0 +𝛼 ( 𝐶𝐷𝑆 𝑡−1 )+𝛾 ∆ 𝐶𝐷𝑆 𝑡−1 + 𝑢 𝑡
  • 59:36 40.
    ∆𝐶𝐷𝑆 𝑡 = 𝑎 0 +𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
  • 59:45 41.
    ∆ 𝐶𝐷𝑆 𝑡 = 𝛼 0 +𝛼 ( 𝐶𝐷𝑆 𝑡−1 )+𝛾 ∆ 𝐶𝐷𝑆 𝑡−1 + 𝑢 𝑡
  • 1:00:17 42.
    ∆𝐶𝐷𝑆 𝑡 = 𝑎 0 +𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
  • 1:00:18 43.
    ∆𝐶𝐷𝑆 𝑡 =𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
  • 1:00:18 44.
    𝐶𝐷𝑆 𝑡 =𝑎 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
  • 1:00:18 45.
    RATS Program for DK tests
  • 1:00:19 46.
    An Example: Greece CDS and BY
  • 1:00:19 47.
    An Example: Greek CDS
  • 1:00:19 48.
    Granger’s Representation
  • 1:00:20 49.
    Johansen’s test for Co-integration
  • 1:00:20 50.
    VAR under Co-integration
  • 1:00:20 51.
    VAR under Co-integration
  • 1:00:20 52.
    An Example
  • 1:00:21 53.
    Condition for Cointegration (2)
  • 1:00:21 54.
    Condition for Cointegration (1)
  • 1:00:22 55.
    A Non-Stationary VAR
  • 1:00:22 56.
    Impact of 𝜀 1 𝜀 2 = 0 5
  • 1:00:22 57.
    Impact of 𝜀 1 𝜀 2 = 4 0
  • 1:00:23 58.
    An Example of Impulse Response Function
  • 1:00:23 59.
    Impulse Response Function
  • 1:00:23 60.
    Determining the Length of Lags
  • 1:00:24 61.
    Determining the length of lags
  • 1:00:24 62.
    VAR
  • 1:00:25 63.
    (Reduced Form) VAR
  • 1:00:25 64.
    There are three different types of VAR.
  • 1:00:25 65.
    Vector Auto Regressive (VAR) Model
  • 1:00:26 66.
    Autoregressive Models
  • 1:00:26 67.
    Vector Autoregressive Model
  • 1:00:31 68.
    Autoregressive Models
  • 1:00:32 69.
    Vector Auto Regressive (VAR) Model
  • 1:00:32 70.
    There are three different types of VAR.
  • 1:00:32 71.
    (Reduced Form) VAR
  • 1:00:33 72.
    VAR
  • 1:00:33 73.
    Determining the length of lags
  • 1:00:33 74.
    Determining the Length of Lags
  • 1:00:34 75.
    Impulse Response Function
  • 1:00:34 76.
    An Example of Impulse Response Function
  • 1:00:34 77.
    Impact of 𝜀 1 𝜀 2 = 4 0
  • 1:00:35 78.
    Impact of 𝜀 1 𝜀 2 = 0 5
  • 1:00:36 79.
    A Non-Stationary VAR
  • 1:00:36 80.
    Condition for Cointegration (1)
  • 1:00:37 81.
    Condition for Cointegration (2)
  • 1:00:37 82.
    An Example
  • 1:00:39 83.
    VAR under Co-integration
  • 1:00:39 84.
    VAR under Co-integration
  • 1:00:40 85.
    Johansen’s test for Co-integration
  • 1:00:40 86.
    Granger’s Representation
  • 1:00:41 87.
    An Example: Greek CDS
  • 1:00:41 88.
    An Example: Greece CDS and BY
  • 1:00:42 89.
    RATS Program for DK tests
  • 1:00:42 90.
    𝐶𝐷𝑆 𝑡 =𝑎 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
  • 1:00:46 91.
    ∆𝐶𝐷𝑆 𝑡 =𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
  • 1:00:47 92.
    ∆𝐶𝐷𝑆 𝑡 = 𝑎 0 +𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
  • 1:00:47 93.
    ∆ 𝐶𝐷𝑆 𝑡 = 𝛼 0 +𝛼 ( 𝐶𝐷𝑆 𝑡−1 )+𝛾 ∆ 𝐶𝐷𝑆 𝑡−1 + 𝑢 𝑡
  • 1:00:48 94.
    DF Tests for CDS
  • 1:00:48 95.
    DF Test For Excess BY
  • 1:00:53 96.
    DF Tests for CDS
  • 1:00:55 97.
    DF Test For Excess BY
  • 1:01:07 98.
    DF Test For Excess BY
  • 1:01:52 99.
    DF Test For Excess BY
  • 1:02:38 100.
    Unit Root Tests
  • 1:03:39 101.
    VECM for Greece
  • 1:03:46 102.
    Unit Root Tests
  • 1:05:05 103.
    VECM for Greece
  • 1:06:02 104.
    VECM Model-Greece
  • 1:10:15 105.
    VECM Model-Greece
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acct-11-VAR
長度: 1:11:50, 瀏覽: 2957, 最近修訂: 2022-12-19
    下一篇
    • 00:00 1.
      Vector Autoregressive Model
    • 00:57 2.
      Autoregressive Models
    • 02:32 3.
      Vector Auto Regressive (VAR) Model
    • 05:49 4.
      There are three different types of VAR.
    • 08:13 5.
      (Reduced Form) VAR
    • 11:07 6.
      VAR
    • 16:10 7.
      Determining the length of lags
    • 18:16 8.
      Determining the Length of Lags
    • 20:42 9.
      Impulse Response Function
    • 22:37 10.
      An Example of Impulse Response Function
    • 23:43 11.
      Impact of 𝜀 1 𝜀 2 = 4 0
    • 24:27 12.
      An Example of Impulse Response Function
    • 24:53 13.
      Impact of 𝜀 1 𝜀 2 = 4 0
    • 25:01 14.
      An Example of Impulse Response Function
    • 25:37 15.
      Impact of 𝜀 1 𝜀 2 = 4 0
    • 28:17 16.
      Impact of 𝜀 1 𝜀 2 = 0 5
    • 29:56 17.
      A Non-Stationary VAR
    • 33:27 18.
      Condition for Cointegration (1)
    • 34:31 19.
      Condition for Cointegration (2)
    • 35:32 20.
      An Example
    • 35:50 21.
      VAR under Co-integration
    • 38:04 22.
      VAR under Co-integration
    • 38:06 23.
      VAR under Co-integration
    • 38:06 24.
      An Example
    • 38:07 25.
      VAR under Co-integration
    • 38:33 26.
      VAR under Co-integration
    • 38:54 27.
      VAR under Co-integration
    • 38:59 28.
      VAR under Co-integration
    • 38:59 29.
      Johansen’s test for Co-integration
    • 39:01 30.
      VAR under Co-integration
    • 40:09 31.
      Johansen’s test for Co-integration
    • 41:53 32.
      Granger’s Representation
    • 42:37 33.
      An Example: Greek CDS
    • 52:40 34.
      An Example: Greece CDS and BY
    • 56:17 35.
      RATS Program for DK tests
    • 57:57 36.
      𝐶𝐷𝑆 𝑡 =𝑎 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
    • 58:25 37.
      ∆𝐶𝐷𝑆 𝑡 =𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
    • 59:22 38.
      ∆𝐶𝐷𝑆 𝑡 = 𝑎 0 +𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
    • 59:28 39.
      ∆ 𝐶𝐷𝑆 𝑡 = 𝛼 0 +𝛼 ( 𝐶𝐷𝑆 𝑡−1 )+𝛾 ∆ 𝐶𝐷𝑆 𝑡−1 + 𝑢 𝑡
    • 59:36 40.
      ∆𝐶𝐷𝑆 𝑡 = 𝑎 0 +𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
    • 59:45 41.
      ∆ 𝐶𝐷𝑆 𝑡 = 𝛼 0 +𝛼 ( 𝐶𝐷𝑆 𝑡−1 )+𝛾 ∆ 𝐶𝐷𝑆 𝑡−1 + 𝑢 𝑡
    • 1:00:17 42.
      ∆𝐶𝐷𝑆 𝑡 = 𝑎 0 +𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
    • 1:00:18 43.
      ∆𝐶𝐷𝑆 𝑡 =𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
    • 1:00:18 44.
      𝐶𝐷𝑆 𝑡 =𝑎 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
    • 1:00:18 45.
      RATS Program for DK tests
    • 1:00:19 46.
      An Example: Greece CDS and BY
    • 1:00:19 47.
      An Example: Greek CDS
    • 1:00:19 48.
      Granger’s Representation
    • 1:00:20 49.
      Johansen’s test for Co-integration
    • 1:00:20 50.
      VAR under Co-integration
    • 1:00:20 51.
      VAR under Co-integration
    • 1:00:20 52.
      An Example
    • 1:00:21 53.
      Condition for Cointegration (2)
    • 1:00:21 54.
      Condition for Cointegration (1)
    • 1:00:22 55.
      A Non-Stationary VAR
    • 1:00:22 56.
      Impact of 𝜀 1 𝜀 2 = 0 5
    • 1:00:22 57.
      Impact of 𝜀 1 𝜀 2 = 4 0
    • 1:00:23 58.
      An Example of Impulse Response Function
    • 1:00:23 59.
      Impulse Response Function
    • 1:00:23 60.
      Determining the Length of Lags
    • 1:00:24 61.
      Determining the length of lags
    • 1:00:24 62.
      VAR
    • 1:00:25 63.
      (Reduced Form) VAR
    • 1:00:25 64.
      There are three different types of VAR.
    • 1:00:25 65.
      Vector Auto Regressive (VAR) Model
    • 1:00:26 66.
      Autoregressive Models
    • 1:00:26 67.
      Vector Autoregressive Model
    • 1:00:31 68.
      Autoregressive Models
    • 1:00:32 69.
      Vector Auto Regressive (VAR) Model
    • 1:00:32 70.
      There are three different types of VAR.
    • 1:00:32 71.
      (Reduced Form) VAR
    • 1:00:33 72.
      VAR
    • 1:00:33 73.
      Determining the length of lags
    • 1:00:33 74.
      Determining the Length of Lags
    • 1:00:34 75.
      Impulse Response Function
    • 1:00:34 76.
      An Example of Impulse Response Function
    • 1:00:34 77.
      Impact of 𝜀 1 𝜀 2 = 4 0
    • 1:00:35 78.
      Impact of 𝜀 1 𝜀 2 = 0 5
    • 1:00:36 79.
      A Non-Stationary VAR
    • 1:00:36 80.
      Condition for Cointegration (1)
    • 1:00:37 81.
      Condition for Cointegration (2)
    • 1:00:37 82.
      An Example
    • 1:00:39 83.
      VAR under Co-integration
    • 1:00:39 84.
      VAR under Co-integration
    • 1:00:40 85.
      Johansen’s test for Co-integration
    • 1:00:40 86.
      Granger’s Representation
    • 1:00:41 87.
      An Example: Greek CDS
    • 1:00:41 88.
      An Example: Greece CDS and BY
    • 1:00:42 89.
      RATS Program for DK tests
    • 1:00:42 90.
      𝐶𝐷𝑆 𝑡 =𝑎 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
    • 1:00:46 91.
      ∆𝐶𝐷𝑆 𝑡 =𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
    • 1:00:47 92.
      ∆𝐶𝐷𝑆 𝑡 = 𝑎 0 +𝛼 𝐶𝐷𝑆 𝑡−1 + 𝜀 𝑡
    • 1:00:47 93.
      ∆ 𝐶𝐷𝑆 𝑡 = 𝛼 0 +𝛼 ( 𝐶𝐷𝑆 𝑡−1 )+𝛾 ∆ 𝐶𝐷𝑆 𝑡−1 + 𝑢 𝑡
    • 1:00:48 94.
      DF Tests for CDS
    • 1:00:48 95.
      DF Test For Excess BY
    • 1:00:53 96.
      DF Tests for CDS
    • 1:00:55 97.
      DF Test For Excess BY
    • 1:01:07 98.
      DF Test For Excess BY
    • 1:01:52 99.
      DF Test For Excess BY
    • 1:02:38 100.
      Unit Root Tests
    • 1:03:39 101.
      VECM for Greece
    • 1:03:46 102.
      Unit Root Tests
    • 1:05:05 103.
      VECM for Greece
    • 1:06:02 104.
      VECM Model-Greece
    • 1:10:15 105.
      VECM Model-Greece
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    2022-12-19 23:23:40
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