Advanced Topics in Analysis of Economic and Financial Data Using R.pdf

Advanced Topics in Analysis of Economic and Financial Data Using R.pdf

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時間:2019-03-15

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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

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