Data Collection Definitions of Variables - Conceptualize vs Operationalize Sample Selection Criteria Source of Data Consistency of Data

Similar documents
F-Tests and Analysis of Variance (ANOVA) in the Simple Linear Regression Model. 1. Introduction

January Examinations 2012

( t) Outline of program: BGC1: Survival and event history analysis Oslo, March-May Recapitulation. The additive regression model

RELATIONSHIP BETWEEN VOLATILITY AND TRADING VOLUME: THE CASE OF HSI STOCK RETURNS DATA

Department of Economics University of Toronto

Econ107 Applied Econometrics Topic 5: Specification: Choosing Independent Variables (Studenmund, Chapter 6)

TSS = SST + SSE An orthogonal partition of the total SS

A First Guide to Hypothesis Testing in Linear Regression Models. A Generic Linear Regression Model: Scalar Formulation

Stock Market Development And Economic Growth

Impact of Strategic Changes on the Performance of Trucking Firms in the Agricultural Commodity Transportation Market

2. SPATIALLY LAGGED DEPENDENT VARIABLES

Volume 30, Issue 4. Abd Halim Ahmad Universiti Utara Malaysia

The Impact of SGX MSCI Taiwan Index Futures on the Volatility. of the Taiwan Stock Market: An EGARCH Approach

Application of Vector Error Correction Model (VECM) and Impulse Response Function for Analysis Data Index of Farmers Terms of Trade

NPTEL Project. Econometric Modelling. Module23: Granger Causality Test. Lecture35: Granger Causality Test. Vinod Gupta School of Management

John Geweke a and Gianni Amisano b a Departments of Economics and Statistics, University of Iowa, USA b European Central Bank, Frankfurt, Germany

Fall 2009 Social Sciences 7418 University of Wisconsin-Madison. Problem Set 2 Answers (4) (6) di = D (10)

5th International Conference on Advanced Design and Manufacturing Engineering (ICADME 2015)

Robustness Experiments with Two Variance Components

Relative Efficiency and Productivity Dynamics of the Metalware Industry in Hanoi

Economic Integration and Structure Change in Stock Market Dependence: Empirical Evidences of CEPA

THEORETICAL AUTOCORRELATIONS. ) if often denoted by γ. Note that

CS434a/541a: Pattern Recognition Prof. Olga Veksler. Lecture 4

Bayesian Inference of the GARCH model with Rational Errors

Multivariate GARCH modeling analysis of unexpected U.S. D, Yen and Euro-dollar to Reminibi volatility spillover to stock markets.

EDO UNIVERSITY, IYAMHO EDO STATE, NIGERIA DEPARTMENT OF ECONOMICS

In the complete model, these slopes are ANALYSIS OF VARIANCE FOR THE COMPLETE TWO-WAY MODEL. (! i+1 -! i ) + [(!") i+1,q - [(!

Machine Learning 2nd Edition

Advanced time-series analysis (University of Lund, Economic History Department)

Oil price volatility and real effective exchange rate: the case of Thailand

Additive Outliers (AO) and Innovative Outliers (IO) in GARCH (1, 1) Processes

CADERNOS DO IME Série Estatística

Analysis And Evaluation of Econometric Time Series Models: Dynamic Transfer Function Approach

Robustness of DEWMA versus EWMA Control Charts to Non-Normal Processes

Applied Econometrics and International Development Vol- 8-2 (2008)

Chapter 5. The linear fixed-effects estimators: matrix creation

Panel Data Regression Models

CHOOSING THE BEST PERFORMING GARCH MODEL FOR SRI LANKA STOCK MARKET BY NON-PARAMETRIC SPECIFICATION TEST

US Monetary Policy and the G7 House Business Cycle: FIML Markov Switching Approach

Scientific Research. Vol.1, No.1, May Modern Economy ISSN:

A Nonlinear Panel Unit Root Test under Cross Section Dependence

The Systematic Tail Risk Puzzle in Chinese Stock Markets: Theoretical Model and Empirical Evidence

New M-Estimator Objective Function. in Simultaneous Equations Model. (A Comparative Study)

Time Scale Evaluation of Economic Forecasts

The volatility modelling and bond fund price time series forecasting of VUB bank: Statistical approach

Testing Twin Deficits and Saving-Investment exus in Turkey [ FIRST DRAFT] Abstract

Economics Discussion Paper

JEL Codes: F3, G1, C5 Keywords: International Finance, Correlation, Variance Targeting, Multivariate GARCH, International Stock and Bond correlation

Volatility Modelling of the Nairobi Securities Exchange Weekly Returns Using the Arch-Type Models

Kayode Ayinde Department of Pure and Applied Mathematics, Ladoke Akintola University of Technology P. M. B. 4000, Ogbomoso, Oyo State, Nigeria

International Parity Relations between Poland and Germany: A Cointegrated VAR Approach *

Empirical Tests of Asset Pricing Models with Individual Assets: Resolving the Errors-in-Variables Bias in Risk Premium Estimation

Econometric Modelling of. Selected Approaches. Michaela Chocholatá University of Economics Bratislava

DYNAMIC ECONOMETRIC MODELS Vol. 8 Nicolaus Copernicus University Toruń 2008

Financial Volatility Forecasting by Least Square Support Vector Machine Based on GARCH, EGARCH and GJR Models: Evidence from ASEAN Stock Markets

for regression Y ˆ ˆ corr Z, X 0 and

Causality between Economic Policy Uncertainty across Countries : Evidence from Linear and Nonlinear Tests. Ahdi N. Ajmi 1.

CHAPTER FOUR REPEATED MEASURES IN TOXICITY TESTING

Common persistence in conditional variance: A reconsideration. chang-shuai Li

Comparison of Supervised & Unsupervised Learning in βs Estimation between Stocks and the S&P500

ACEI working paper series RETRANSFORMATION BIAS IN THE ADJACENT ART PRICE INDEX

Tests of Equal Forecast Accuracy and Encompassing for Nested Models. Todd E. Clark and Michael W. McCracken * April 1999 (current draft: April 7)

Capital Flow Volatility and Exchange Rates: The Case of India. Pami Dua and Partha Sen 1, 2

Journal of Econometrics. The limit distribution of the estimates in cointegrated regression models with multiple structural changes

Childhood Cancer Survivor Study Analysis Concept Proposal

Chapter 8 Dynamic Models

Influence Diagnostics in a Bivariate GARCH Process

Analysing the Relationship between New Housing Supply and Residential Construction Costs with the Regional Heterogeneities

Forecasting customer behaviour in a multi-service financial organisation: a profitability perspective

A DIAGNOSTIC CRITERION FOR APPROXIMATE FACTOR STRUCTURE

Economic Growth, Export, and External Debt Causality: The Case of Asian Countries

Real Exchange Rates In Developing Countries: Are Balassa-Samuelson Effects Present?

CHAPTER 5: MULTIVARIATE METHODS

THE TRANSMISSION MECHANISM TO BARTER. José Noguera, CERGE-EI. September 2003

Endogeneity. Is the term given to the situation when one or more of the regressors in the model are correlated with the error term such that

( ) [ ] MAP Decision Rule

THE FORECASTING ABILITY OF A COINTEGRATED VAR DEMAND SYSTEM WITH ENDOGENOUS VS. EXOGENOUS EXPENDITURE VARIABLE

Journal of Chemical and Pharmaceutical Research, 2014, 6(5): Research Article

Joanna Olbryś * Asymmetric Impact of Innovations on Volatility in the Case of the US and CEEC 3 Markets: EGARCH Based Approach

Single-loop System Reliability-Based Design & Topology Optimization (SRBDO/SRBTO): A Matrix-based System Reliability (MSR) Method

Normal Random Variable and its discriminant functions

DYNAMIC ECONOMETRIC MODELS Vol. 8 Nicolaus Copernicus University Toruń Mariola Piłatowska Nicolaus Copernicus University in Toruń

PPP May not Hold for Agricultural Commodities

Modelling Abrupt Shift in Time Series Using Indicator Variable: Evidence of Nigerian Insurance Stock

Estimation of Cost and. Albert Banal-Estanol

Statistics for Business and Economics

Volume 31, Issue 1. Are exports and imports cointegrated in India and China? An empirical analysis

A New Generalisation of Sam-Solai s Multivariate symmetric Arcsine Distribution of Kind-1*

Testing for Separability and Structural Change in Urban Chinese Food Demand

Inverse Joint Moments of Multivariate. Random Variables

By By Yoann BOURGEOIS and Marc MINKO

CHAPTER 2: Supervised Learning

Survival Analysis and Reliability. A Note on the Mean Residual Life Function of a Parallel System

Statistics for Economics & Business

DYNAMIC RISK SHARING IN THE UNITED STATES AND EUROPE. Pierfederico Asdrubali * European University Institute, Florence. and

Economics 120C Final Examination Spring Quarter June 11 th, 2009 Version A

High frequency analysis of lead-lag relationships between financial markets de Jong, Frank; Nijman, Theo

Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average

Measuring Market Power in a Dynamic Oligopoly Model: An Empirical Analysis

The Econometrics of High Frequency Data

Transcription:

Apply Sascs and Economercs n Fnancal Research Obj. of Sudy & Hypoheses Tesng From framework objecves of sudy are needed o clarfy, hen, n research mehodology he hypoheses esng are saed, ncludng esng mehods. Secon 1 Secon Secon Secon 4 Secon 5 Daa Collecon Defnons of Varables - Concepualze vs Operaonalze Sample Selecon Crera Source of Daa Conssency of Daa Obj. L. Rev. Framework Hypoheses Mehodology - Daa H : Tesng. Resuls - Daa - Prelm. H : Tesng. Concluson. By Tare Janarakolca 1 By Tare Janarakolca Types of Varables Descrbng Daa or Sample Nomnal Level Ordnal Level Inerval Level Rao Level Measuremen Problem Ordnal Level vs Inerval Level Unvarae Sascal Analyss - Frequency Table, Graph, Char - Mean, Medan, Mode - Max, Mn, Range, Varance, SD., CV. - Skewness, Kuross Subsample Analyss By dvdng sample based on some ceran creron, subsample analyses can lead o a more clear undersandng of he sample group. By Tare Janarakolca By Tare Janarakolca 4

Apply Sascs & Economercs Mehods Objecves of Sudy & Hypoheses Tesng. Hypoheses Tesng - Unvarae and Bvarae Hypohess Tesng usng Basc Sascs - Mulvarae Hypohess Tesng usng Economercs Hypoheses Tesng Unvarae & Bvarae Hypoheses Tesng - Paramerc Tess - Nonparamerc Tess Mulvarae Hypoheses Tesng usng Economerc Technque - Indvdual Tes -es - Overall Tes F-es Resrced vs Unresrced Tes - Dummy Varables Tes - Specfc Tes By Tare Janarakolca 5 By Tare Janarakolca 6 Unvarae & Bvarae Hypoheses Tesng Paramerc Tess Unvarae Hypohess Tes One-sample -es Bvarae Hypohess Tes Two-sample Tes - Independen Sample -es - Dependen (Pared) -es One-way Analyss of Varance (ANOVA) Pearson s Correlaon Tes Independen Varable Measuremen Dependen Varables Measuremen - - Reurn Inerval or Rao Dvdend Pad Groups Before-Afer Groups Frm Sze > Groups Rsk Unvarae & Bvarae Hypoheses Tesng Nomnal Independen Nomnal Dependen Reurn Reurn Inerval or Rao Inerval or Rao Nomnal Reurn Inerval or Rao Inerval or Rao Reurn Inerval or Rao Sascal Tesng One-Sample -es Independen- Sample -es Dependen Pared -es One-way ANOVA Pearson s Correlaon By Tare Janarakolca 7 By Tare Janarakolca 8

Unvarae & Bvarae Hypoheses Tesng Nonnormal or Small Sample Nonparamerc Tess More appropraed for nonnormal dsrbuon daa or small sample case. Nomnal Daa Frequency - Conngency Table Analyss Ch-squared Tes Ordnal Daa Rank Dependen Samples - Sgn Tes & Wlcoxon Sgned Rank Tes Independen Samples - Wlcoxon Mann-Whney Rank-Sum Tes - Kruskal-Walls Tes By Tare Janarakolca 9 Independen Varable Unvarae & Bvarae Hypoheses Tesng Nonnormal or Small Sample Measuremen Dependen Varables - - Rang, Rankng Reurn Dvdend Pad Groups Before-Afer Groups Frm Sze > Groups Dvdend Pad, Frm Sze Rang, Rankng Nomnal Independen Nomnal Dependen Nomnal Nomnal Ordnal Lqudy Rao, Reurn Lqudy Rao, Reurn Lqudy Rao, Reurn Frm Sze, Indusry Rang, Rankng Measuremen Ordnal o Rao Inerval o Rao Inerval o Rao Inerval o Rao Nomnal Ordnal Sascal Tesng Sgn & Rank Tes Wlcoxon Tes Sgn & Rank Tes Kruskal-Walls Tes Ch-square es Spearman s Correlaon 1 Mulvarae Hypohess Tesng usng Economerc Technque Tradonal Lnear Regresson Model - Overall Tes F-es - Indvdual Tes -es - Tes for Equaly Resrcon - Resrced Regresson Tes F-es - Tes for Sably (Srucural Break) - Dummy Varable Technque.. Mcroeconomercs Models. Tme Seres Models By Tare Janarakolca 11 Hypohess Tesng Basc Tess e.g. Deermnans of frms performances = β1 + β + β + β4 4 Selec he Mos Appropraed Model Overall Tes (or F-es) H β β β4 Volaon of OLS Assumpon ncludes Mulcollneary, Auocorrelaon, : = = = Heeroscascy, Model Specfcaon, Endogeney problem Robusness of he Tess.. Tes Sgnfcan Impac of Each Varable Indvdual Tes H : β = By Tare Janarakolca 1

Hypohess Tesng Specfc Tes on Ceran Condon e.g. Equaly of nfluences of neres rae and nflaon rae = β1 + β + β + β4 4 Tes for Equaly Resrcon H : β = β or ( β β ) = 4 4 e.g. Economy of Scale H : β + β = 1 Y = β e 1 β ln β = ln β1 + β ln + β ln Tes for Equaly Resrcon By Tare Janarakolca u 1 Hypohess Tesng Tes for Sably Chow Tes Whole PerodY = λ + λ 11 + λ + u for =1,,,n 1 +n Before Crss Y = + 1 1 + + u1 for =1,,,n 1 Afer Crss Y = β + β11 + β + u for = n 1 +1, n 1 +,, n 1 +n Hypohess H H : a α = β = λ and α1 = β1 = λ1 and α = β = λ : Oherwse F = ( S1 S S ) k ( S + S ) ( n + n k ) By Tare Janarakolca 14 1 Hypohess Tesng Tes for Sably Dummy Varables Technque Model wh Inercep and Slope Dummy Varable = β D + β11 1D 1 + β D where: D = before crss = 1 afer crss. Ths model can be nerpreed as: Before Crss: Afer Crss: = β + β11 + β = ( β ) + ( β1 1) 1 + ( β ) By Tare Janarakolca 15 Dummy Varable Alernave o Chow Tes Chow Tes Whole Perod Y = λ + λ11 + λ + u for =1,,,n 1 +n Before Crss Y = α + α11 + α + u1 for =1,,,n 1 Afer Crss Y = β + β 11 + β + u for = n 1 +1, n 1 +,, n 1 +n Dummy Varable Technque Whole Perod Before Crss Afer Crss = β + β11 + β = β + β11 + β = ( β ) + ( β1 1) 1 + ( β ) Dummy varable can be used as Chow Tes. Resrced F-es H: γ = γ1 = γ = By Tare Janarakolca 16

Dummy Varable Technque Dummy varable can also be used o es wheher specfc even has sgnfcan mpac. e.g. Wheher earnng announcemen has mpac on sock prce Wheher he proes has mpac on he sock marke Y = β D + β + β + β + u 1 1 where: D = for normal perod = 1 for even perod Indvdual Tes H : γ = Dummy Varable Technque Weekend Effec and Reverse Weekend Effec on Tha Sock Marke RQ: Wheher here exss evdences of weekend and reverse weekend effec and mpacs of frm sze on he weekend effec and he reverse weekend effec. Objecves: - To examne he evdence of weekend effec and reverse weekend effec n Thaland. - To examne he degree o whch he reverse weekend effec are relaed o frm sze. By Tare Janarakolca 17 By Tare Janarakolca 18 Weekend Effec Defnon Weekend Effec -- Dfferen Reurn on Monday Reverse weekend effec -- Dfferen Reurn on Frday 1 s Obj. Hypohess Tesng H : Excess Reurn Each Day = Where = 1 for Monday, Tuesday, Wednesday, 4 Thursday, and 5 Frday These hypoheses can be esed by usng Onesample -es for each day. If rejec H, means ha here exss excess reurn on each day, oherwse no excess reurn. Dummy varables regresson model: R = + β d + β d + β 4d 4 + β 5d 5 α + ε By Tare Janarakolca 19 If -es of β (=,,,5) s rejeced, means ha here exss excess reurn on each day. If no, here s no excess reurn on ha day. By Tare Janarakolca

nd Obj. Hypohess Tesng H : Dfferen frm sze has dfferen reurn μ 1 = μ = = μ 5 These hypoheses can be esed by usng One-way Analyss of Varance (ANOVA) for each day. If rejec H, means ha frm sze has sgnfcan effec on weekend effec. If no, here s no frm sze effec. By Tare Janarakolca 1