order
Introduction to chapter 1 of teaching suggestions/1
1. 1 What is econometrics /2
1.2 the relationship between econometrics and other disciplines /3
1.3 research steps of econometrics /4
1.4 development of econometrics /8
1.5 econometric analysis software/1 1
Summary of this chapter/19
Thinking and Practice /20
Chapter II Regression Model /2 1
2. 1 Overview of Regression Analysis /22
2.2 Univariate linear regression model /25
2.3 multivariate linear regression model /3 1
2.4 Statistical test of regression model /37
2.5 Forecast /44
2.6 nonlinear regression model /49
Case Study: London Copper Futures Price Model /53
Summary of this chapter /55
Thinking and Practice /56
Chapter III Extension of Regression Model /58
3. 1 heteroscedasticity /59
3.2 autocorrelation /72
3.3 Multiple * * * Linearity /88
3.4 Virtual variables/103
Case Study: Analysis Model of Influencing Factors of Hang Seng Index in Hong Kong/1 12
Summary of this chapter/1 19
Thinking and practice/1 19
Chapter IV Time Series Model/124
4. 1 Overview of Random Time Series Model/125
4.2 the stationarity of time series and its test/128
4.3 Granger causality test of time series/133
Case study: causality test between bank stocks and Shanghai Stock Exchange Index/135
Summary of this chapter/138
Thinking and practice/138
Chapter V Cointegration and Error Correction Model/140
5. 1 cointegration relationship and cointegration test/140
5.2 Error correction model/149
Case Study: Co-integration Analysis of Financial Development and Economic Growth in China/152
Summary of this chapter/155
Thinking and practice/156
Chapter VI ARCH model and its extended form/158
6. 1ARCH model and its extended form/159
6.2 Building Effect Test/165
6.3 estimation and test of GARCH model/170
Case study: the application of GARCH model in financial field/176
Summary of this chapter/18 1
Thinking and practice/18 1
Chapter VII Discrete Dependent Variable Model and Restricted Dependent Variable Model/183
7. 1 linear probability model and its existing problems/184
7.2 Logistic Regression and Probability Unit Process/186
7.3 Selection model for sorting/196
7.4 Toby Model /200
Summary of this chapter /204
Thinking and Practice /205
Chapter VIII SAS Software Introduction and Financial Data Analysis /2078. 1SAS System Introduction /207
8.2 system database /2 12
8.3 financial data analysis-regression analysis /2 18
8.4 Financial Data Analysis-Time
Sequence analysis /223
Summary of this chapter /226
Thinking and Practice /227
Chapter IX Writing of Financial Empirical Papers /228
9. 1 Financial Market Theory and Econometric Methods /228
9.2 Financial Empirical Paper Writing Framework /232
Summary of this chapter /238
Thinking and Practice /238
Appendix /239
References /243