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I. Serii de timp
Definitie
O secventa de valori inregistrate de o variabila aleatoare specifica intr-o anumita perioada de timp
Caracteristici
Frecventa Populatie vs. esantion Momente Stationaritate Sezonalitate
Frecventa
Reprezinta periodicitatea cu care este observat variabila. Functie de specificul seriei de timp, frecventa poate fi zilnica (cum este cazul preturilor activelor financiare cursurile actiunilor, ratele de dobanda, cursul de schimb), lunara (de exemplu, rata inflatiei, salariul mediu pe economie, rata somajului), trimestriala (cum este produsul intern brut) sau anuala
Stationaritate
seriei de timp sa fie constanta sau cu alte cuvinte, observatiile trebuie sa fluctueze in jurul mediei. varianta seriei s fie constanta.
Din punct de vedere economic, o serie este stationara daca un soc asupra seriei este temporar (se absoarbe in timp) si nu permanent.
Stationaritate
In cazul in care seria nu este stationara, prin diferentiere, se obtine o serie stationara. Ordinul de integrare al seriei reprezinta numarul de diferentieri succesive necesare pentru obtinerea unei serii stationare (sau numarul de radacini unitare al seriei).
Sezonalitate
Seriile de timp cu frecventa lunara sau trimestriala prezinta adesea evoluaii care au o anumita ciclicitate. De exemplu activitatea economica se incetineste in lunile de iarna, preturile cresc mai mult n lunile reci decat in perioada de vara etc. In analiza econometrica, pentru a elimina aceste evolutii sezoniere seriile de timp sunt ajustate sezonier.
II.1. Distributii
Distributia de probabilitate
Este reprezentarea tuturor valorilor pe care le poate lua o variabil aleatore si a probabilitii de apariie a acestor valori Variabile aleatoare
Discrete Continue
Distributii
Normala Lognormala t Chi patrat F
Distributia normala
Distributia log-normala
Distributia t
Distributia Chi-patrat
Distributia F
Testarea ipotezelor
Definirea ipotezei; Identificarea testului statistic ce va fi utilizat i a distribuiei de probabilitate a acestuia; Specificarea nivelului de relevan al testului; Specificarea regulii de decizie; Colectarea datelor i estimarea parametrului; Luarea deciziei statistice; Luarea deciziei economice.
Definirea ipotezei
Specificarea ipotezei nule i a ipotezei alternative Ipoteza nul, notat cu , reprezint ipoteza ce este testat, iar ipoteza alternativ, notat cu , este ipoteza acceptat n cazul n care ipoteza nul este respins
Testarea mediei
Testul t
Nu se poate testa
Testarea variantei
cu n 1 grade de libertate
Definirea seriilor
Introducerea datelor
Prelucrea seriilor
Teste statistice
Augmented
t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level
0.9448
Coeficientul de asimetrie (skewness) este zero distributia normala este simetrica. Kurtotica (kurtosis) este 3. Dac acest indicator are o valoare mai mare dect 3, atunci distributia se numete leptokurtotica, iar daca acesta este mai mic dect 3 atunci distributia se numeste platikurtotica.
Distributie EURRON
Theoretical Quantile-Quantile 12 8
Normal Quantile
80
4 0
60
40
-4
20
-8 -12 -.08
0
-.04 .00 DL_EUR .04 .08
-.04
-.02
.00
.02
.04
.06
DL_EUR
Functia de autocorelatie
Functia de autocorelatie
Filtrul Hodrick-Prescott
Investigarea sezonalitatii
Proceduri de desezonalizare
Census X12 Census X11 Tramo/Seats
Proceduri de desezonalizare
Serie desezonalizata
Utilizare
Cu ajutorul regresiei liniare multiple, se poate determina impactul pe care il au mai multe variabile independente asupra unei anumite variabile (numita variabila dependenta)
Ecuatia de regresie
Determinarea elasticitatilor
Daca variabila dependenta si variabilele independente sunt specificate in logaritmi naturali, atunci coeficientii variabilelor independente pot fi interpretati ca elasticitati Astfel, acesti coeficienti vor arata cu cat la suta se modifica variabila dependenta daca variabila independenta se modifica cu 1 la suta
Multicoliniaritate
Valori mari ale lui R-patrat si valori mici ale valorilor t-statistic ale coeficientilor variabilelor independente
t pentru testarea individuala a coeficietilor Testul F pentru testarea tuturor coeficientilor Testul Wald
Variabile dummy
Acestea
iau valoarea 1 dac o anumita conditie este adevarata si valoarea 0 in caz contrar Numarul de variabile dummy este cu 1 mai mic decat numarul de conditii, in caz contrat existand multicoliniaritate Variabilele dummy pot fi utilizate si pentru captarea impactului sezonier asupra variabilei independente, introducand cel mult 11 variabile dummy pentru datele cu frecven lunara sau cel mult 3 variabile dummy pentru datele cu frecventa trimestriala, in cazul in care datele nu au fost ajustate sezonier in prealabil
Parametrii regresiei
Ecuatia estimata
Indicatori ai regresiei
t-Statistic si probabilitatea asociata, calculat pentru constanta si coeficientul fiecarei variabile independente R-Squared, Adjusted R-Squared F-Statistic si probabilitatea asociata Criteriile informationale (Akaike info criterion, Schwarz criterion, Hannan-Quinn criter.) Durbin-Watson stat
Fitted
Corelograma erorilor Corelograma erorilor patratice Testarea tipului de distributie a erorilor Serial Correlation LM Test ARCH LM Test White Heteroskedasticity Test
Corelograma erorilor
Series: Residuals Sample 1999Q1 2011Q1 Observations 49 Mean Median Maximum Minimum Std. Dev. Skewness Kurtosis Jarque-Bera Probability
-0.010 -0.005 0.000 0.005 0.010 0.015
Teste de stabilitate
Teste de stabilitate
CUSUM Test
10 5 0 -5 -10 -15 -20 -25 II III 2009 CUSUM IV I II 2010 5% Significance III IV I 2011
0.8
0.4
0.0
Recursive coeficients
.034 .033 .032 .031 -.2 .030 .029 .028 .027 II III 2009 IV I II 2010 Recursive C(1) Estimates 2 S.E. III IV I 2011 -.4 -.6 -.8 II III 2009 IV I II 2010 Recursive C(2) Estimates 2 S.E. III IV I 2011 .4 .2 .0
.8
.7
.6 -.005 .5 -.010 .4 -.015 -.020 II III 2009 IV I II 2010 Recursive C(3) Estimates 2 S.E. III IV I 2011 II III 2009 IV I II 2010 Recursive C(4) Estimates 2 S.E. III IV I 2011
.3
V. Modele ARMA
Modele ARMA
Modele autoregresive (AR); Modele cu medii mobile (MA); Modele ARMA care combina cele dou tipuri de procese.
Seria de date
250 200
150
100
50
0 97 98 99 00 01 02 03 04 05 06 07
BUBOR
t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level
0.0003
Phillips-Perron test statistic Test critical values: 1% level 5% level 10% level
0.0001
364.8682 462.5140
Functia de autocorelatie
Specificare ecuatie
Variable
Coefficient
Std. Error
t-Statistic
Prob.
R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)
Inverted MA Roots
.42-.90i
.42+.90i
-.78+.45i
-.78-.45i
0.0
0.416806 0.900818i -0.783923 0.450021i 0.992572 0.903910 5.524002 2.397739
-1.0
-0.5
0.0
0.5
1.0
1.5
MA roots
Corelograma erorilor
Residual
Actual
Fitted
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C BUBOR(-1)
4.985180 0.878633
2.639138 0.043240
1.888943 20.32007
0.0612 0.0000
R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)
Corelograma erorilor
Residual
Actual
Fitted
Variable
Coefficient
Std. Error
t-Statistic
Prob.
R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood
Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Durbin-Watson stat
Inverted MA Roots
.56+.83i -.53+.73i
.56-.83i -.53-.73i
Conditia de stabilitate
Inverse Roots of AR/MA Polynomial(s) 1.5 1.0 0.5
MA Root(s) Modulus Cycle Inverse Roots of AR/MA Polynomial(s) Specification: BUBOR BUBOR(-1) MA(5) MA(6) MA(7) MA(10) Sample: 1997M01 2007M12 Included observations: 127
-1.0
-0.5
0.0
0.5
1.0
1.5
MA roots
Corelograma erorilor
Residual
Actual
Fitted
Selectarea specificatiei
MA(4)
Adjusted R-squared Akaike info criterion 8.571450 Schwarz criterion 8.682858 8.938210 8.490837 8.893420 8.378862 0.832822
AR(1)
0.765758
ARMA(1,10)
0.863156
Prognoze
Dynamic forecast prognozeaza valoarea in perioada t + 1 pe baza datelor efective pana an momentul t, apoi pentru toate perioadele urmatoare foloseste datele deja prognozate incepand din momentul t + 1. Static forecast prognozeaza o observatie inainte numai pe baza datelor efective.
Realizarea de prognoze
2007M10
2007M11 BUBORF
2007M12
Constau in estimarea de ecuatii de regresie in care sunt folosite date care sunt in acelasi timp atat serii de timp ct si date crosssectionale
Utilizari
Rezumarea printr-un singur coeficient al impactului unei variabile asupra unui grup de serii de timp variabile dependente (grup de companii, de tari, etc.). Estimarea de coeficienti specifici (constanta sau coeficienti ai variabilelor independente) pentru fiecare serie de timp considerata ca variabila dependenta efecte fixe. Gruparea variabilelor dependente in categorii si estimarea impactului categoriei din care face parte variabila dependenta asupra evolutiei acesteia
Definirea modelului
Definirea indentificatorilor
Definirea seriilor
Ecuatia de regresie
Rezultate regresie
Dependent Variable: DLOG(HICP?) Method: Pooled EGLS (Cross-section SUR) Included observations: 188 after adjustments Cross-sections included: 4 Total pool (balanced) observations: 752 Linear estimation after one-step weighting matrix
Variable
Coefficient
Std. Error
t-Statistic
Prob.
Weighted Statistics
Mean dependent var S.D. dependent var Sum squared resid Durbin-Watson stat
Unweighted Statistics
0.602410 0.080251
0.007916 1.864487
Coeficienti individuali
Rezultate regresie
Dependent Variable: DLOG(HICP?) Method: Pooled EGLS (Cross-section SUR) Sample (adjusted): 1996M03 2011M10 Included observations: 188 after adjustments Cross-sections included: 4 Total pool (balanced) observations: 752 Linear estimation after one-step weighting matrix Variable Coefficient Std. Error t-Statistic Prob.
C DLOG(HICP_EU(-1)) DLOG(HICP?(-1)) DLOG(ER?(-1)) Fixed Effects (Cross) _CZ--C _HU--C _PO--C _RO--C
Effects Specification
Weighted Statistics
Mean dependent var S.D. dependent var Sum squared resid Durbin-Watson stat
Unweighted Statistics
0.614957 0.077719
0.007916 1.802623
Rezultate regresie
Dependent Variable: DLOG(HICP?) Method: Pooled EGLS (Cross-section SUR) Sample (adjusted): 1996M03 2011M10 Included observations: 188 after adjustments Cross-sections included: 4 Total pool (balanced) observations: 752 Linear estimation after one-step weighting matrix Variable Coefficient Std. Error t-Statistic Prob.
Weighted Statistics
Mean dependent var S.D. dependent var Sum squared resid Durbin-Watson stat
Unweighted Statistics
0.623347 0.076025
0.007916 2.116026
Rezultate regresie
Dependent Variable: DLOG(HICP?) Method: Pooled EGLS (Cross-section SUR) Sample (adjusted): 1996M03 2011M10 Included observations: 188 after adjustments Cross-sections included: 4 Total pool (balanced) observations: 752 Linear estimation after one-step weighting matrix Variable Coefficient Std. Error t-Statistic Prob.
Weighted Statistics
Mean dependent var S.D. dependent var Sum squared resid Durbin-Watson stat
Unweighted Statistics
0.708343 0.058869
0.007916 1.943093
Tipuri de volatilitate
Istorica calculata pe baza preturilor istorice ale activelor Exponentialy weighted moving average EWMA Estimata prin modele econometrice (Generalised Autoregressive Conditional Heteroskedasticity - GARCH) Implicita calculata din preturile optiunilor
Observatii curs spot S0, S1, . . . , Sn la intervale de ani Calcul randament in timp continuu:
Si ui = ln S i 1
3. 4.
s =
Modelul EWMA
Conform acestui model, volatilitatea din ziua n este o medie ponderata intre volatilitatea din ziua anterioara si randamentul la patrat u2 din ziua anterioara
=
2 n
2 n 1
+ (1 )u
2 n 1
RiskMetrics (JP Morgan, Reuters) foloseste = 0.94 pentru calculul volatilitatii zilnice
Modele GARCH
In modelul GARCH, volatilitatea depinde de volatilitatile anterioare si de randamentele patratice anterioare ale activului Coeficientii variabielor sunt extimati prin diverse proceduri econometrice
= + ku
2 n k =1
2 nk
+ i
i =1
2 n i
Specificare model
Coeficientii ecuatiei variantei sa fie pozitivi; Suma coeficientilor ecuatiei variantei s fie mai mica decat 1. In caz contrar, modelul este GARCH integrat (I-GARCH), iar volatilitatea este exploziva.
Estimare GARCH(1,1)
Dependent Variable: DL_EUR Method: ML - ARCH (Marquardt) - Normal distribution Sample (adjusted): 2 2148 Included observations: 2147 after adjustments Convergence achieved after 19 iterations Variance backcast: ON GARCH = C(2) + C(3)*RESID(-1)^2 + C(4)*GARCH(-1)
Coefficient
Std. Error
z-Statistic
Prob.
0.000198
8.77E-05
2.260467
0.0238
Variance Equation
C RESID(-1)^2 GARCH(-1)
R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood
Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Durbin-Watson stat
Estimare EGARCH(2,1,1)
Dependent Variable: DL_EUR Method: ML - ARCH (Marquardt) - Generalized error distribution (GED) Sample (adjusted): 2 2148 Included observations: 2147 after adjustments Convergence achieved after 25 iterations Variance backcast: ON LOG(GARCH) = C(3) + C(4)*ABS(RESID(-1)/@SQRT(GARCH(-1))) + C(5)*ABS(RESID(-2)/@SQRT(GARCH(-2))) + C(6)*RESID(-1) /@SQRT(GARCH(-1)) + C(7)*LOG(GARCH(-1))
Coefficient
Std. Error
z-Statistic
Prob.
@SQRT(GARCH) C
0.112635 -0.000457
0.039554 0.000156
2.847620 -2.932430
0.0044 0.0034
Variance Equation
GED PARAMETER
1.293394
0.047198
27.40373
0.0000
R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)
Volatilitatea conditionata
.028 .024 .020 .016 .012 .008 .004 .000 250 500 750 1000 1250 1500 1750 2000 Conditional standard deviation
Definitie si utilizare
Un model VAR (Vector Autoregression) permite tratarea simetrica a tuturor variabilelor din model, in sensul ca nu presupune implicit exogeneitatea unei anumite variabile (cum se intampla in cazul OLS).
Cor(DLOG(HICP_RO),DLOG(ER_RO)(-i))
.6 .4 .2 .0 -.2 -.4 -.6 1
Cor(DLOG(HICP_RO),DLOG(HICP_EU)(-i))
10
11
12
Cor(DLOG(ER_RO),DLOG(HICP_RO)(-i))
.6 .4 .2 .0 -.2 -.4 -.6 1 2 3 4 5 6 7 8 9 10 11 12 .6 .4 .2 .0 -.2 -.4 -.6 1
Cor(DLOG(ER_RO),DLOG(ER_RO)(-i))
.6 .4 .2 .0 -.2 -.4 -.6 2 3 4 5 6 7 8 9 10 11 12 1
Cor(DLOG(ER_RO),DLOG(HICP_EU)(-i))
10
11
12
Cor(DLOG(HICP_EU),DLOG(HICP_RO)(-i))
.6 .4 .2 .0 -.2 -.4 -.6 1 2 3 4 5 6 7 8 9 10 11 12 .6 .4 .2 .0 -.2 -.4 -.6 1
Cor(DLOG(HICP_EU),DLOG(ER_RO)(-i))
.6 .4 .2 .0 -.2 -.4 -.6 2 3 4 5 6 7 8 9 10 11 12 1
Cor(DLOG(HICP_EU),DLOG(HICP_EU)(-i))
10
11
12
Testarea autocorelatiei
VAR Residual Portmanteau Tests for Autocorrelations Null Hypothesis: no residual autocorrelations up to lag h Sample: 1996M01 2011M12 Included observations: 186
Lags
Q-Stat
Prob.
Adj Q-Stat
Prob.
df
1 2 3 4 5 6 7 8 9 10 11 12
0.497749 1.487910 4.163052 22.25030 35.55546 52.90164 64.09821 81.99966 89.82131 95.09797 99.91440 154.0077
NA* NA* NA* 0.1353 0.0786 0.0204 0.0201 0.0050 0.0096 0.0247 0.0561 0.0000
0.500439 1.501363 4.220360 22.70513 36.37783 54.30223 65.93665 84.64266 92.86202 98.43849 103.5577 161.3815
NA* NA* NA* 0.1218 0.0661 0.0150 0.0138 0.0028 0.0053 0.0141 0.0334 0.0000
*The test is valid only for lags larger than the VAR lag order. df is degrees of freedom for (approximate) chi-square distribution
Testarea autocorelatiei
VAR Residual Serial Correlation LM Tests Null Hypothesis: no serial correlation at lag order h Sample: 1996M01 2011M12 Included observations: 186
Lags
LM-Stat
Prob
1 2 3 4 5 6 7 8 9 10 11 12
9.676269 6.781290 17.34069 21.62957 14.02825 18.97320 12.64418 20.40055 8.294159 5.512769 5.240046 72.10294
0.3773 0.6599 0.0436 0.0101 0.1213 0.0254 0.1794 0.0156 0.5048 0.7875 0.8129 0.0000
1 2 3
1 1 1
Joint
54.86231
0.0000
Component
Kurtosis
Chi-sq
df
Prob.
1 2 3
1 1 1
Joint
807.2283
0.0000
Component
Jarque-Bera
df
Prob.
1 2 3
2 2 2
Joint
862.0906
0.0000
Testarea heteroskedasticitatii
VAR Residual Heteroskedasticity Tests: No Cross Terms (only levels and squares) Sample: 1996M01 2011M12 Included observations: 186 Joint test:
Chi-sq
df
Prob.
420.2497
108
0.0000
Individual components:
Dependent
R-squared
F(18,167)
Prob.
Chi-sq(18)
Prob.
Definitia impulsului
cazul descompunerii Cholesky conteaza ordonarea variabilelor daca acestea sunt corelate intre ele; in cazul descompunerii generalizate nu conteaza ordonarea variabilelor; in cazul descompunerii structurale, aceasta poate fi utilizata doar daca a fost specificat anterior un model structural cu restrictiile necesare.
Functii de impuls-raspuns
Functii de impuls-raspuns
Response to Cholesky One S.D. Innovations 2 S.E.
Response of DLOG(HICP_RO) to DLOG(HICP_RO)
.020 .015 .010 .005 .000 -.005 -.010 1 2 3 4 5 6 7 8 9 10 11 12
Descompunerea variantei
Variance Decomposition
Percent DLOG(HICP_RO) variance due to DLOG(HICP_RO)
100 80 60 40 20 0 1 2 3 4 5 6 7 8 9 10 11 12
Variance Decomposition
Percent DLOG(ER_RO) variance due to DLOG(HICP_RO)
100 80 60 40 20 0 1 2 3 4 5 6 7 8 9 10 11 12