11.1 协整与误差修正模型的基本定义 11.2 Engle-Granger协整分析方法 11.3 向量ADF模型与协整分析

中国人民大学：《金融计量学》课程教学资源（PPT课件）Lecture 10 结构向量自回归模型 10.4 SVAR模型的估计方法总结 10.5 SVAR与缩减VAR模型的脉冲响应及方差分解比较

中国人民大学：《金融计量学》课程教学资源（PPT课件）Lecture 09 向量自回归（VAR）模型 9.3 格兰杰因果关系 9.4 向量自回归模型与脉冲相应分析 9.5 VAR模型与方差分解

8.3.6 面板单位根检验 8.3.7 拔靴法与单位根检验 8.4 各种单位根检验法的应用

1 An Excursion into Non-linearity land Motivation: the linear structural (and time series) models cannot explain a number of important features common to much financial data

6.1 基本概念与预测初步 6.2 基于MA模型的预测 6.3 基于AR模型的预测 6.4 预测准确性度量指标

常用的经济计量软件 EViews (Econometric Views) RATS (Regression Analysis of Time Series) SAS (Statistical Analysis System) SPSS (Statistical Package for Social Science) TSP

1.1 Introduction: The Nature and Purpose of Econometrics · What is Econometrics? Literal meaning is \measurement in economics?\ 对经济现象和经济关系的数量/计量分析

1 Stationarity and unit Root testing WHy do we need to test for Non-Stationarity? The stationarity or otherwise of a series can strongly influence its behaviour and properties -e.g. persistence of shocks will be infinite for nonstationary series Spurious regressions. If two variables are trending over

11.4 向量误差修正模型(VECM) 11.5 确定性趋势与协整分析 11.6 Johansen协整分析方法 11.7 VECM的估计与统计推断 11.8 Johansen协整分析方法的应用