Transcript Unit Root Tests

学术论文写作与
研究方法应用
中国海洋大学
苏志伟
现职、学经历
现职：中国海洋大学特聘教授
新世纪优秀人才计画
学历：厦门大学应用经济学博士后
逢甲大学商学研究所博士
经历：淡江大学国际企业系
静宜大学财务金融系
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专长与研究方向
专长：国际金融、应用计量时间数列分析
研究方向：国际金融、应用计量时间数列
分析、普惠金融、风险管理、资本市场
研究成果
共发表90多篇文章，其中65篇SSCI, 3篇
SCI，4篇FLI,12篇ECONLIT,1篇,2篇
CSSCI
In Fact, It is not Difficult to
Publish Your Papers in Econ-Lit,
SSCI and SCI Journals
Getting Ideas?
Read Journals
Academic journals
Journals in your field (e.g., Finance)
Journals in related fields (e.g., finance)
Wall Street Journal
Read newspapers other than Wall Street Journal?
Go to conferences
Go to seminars
Evaluating Your Ideas
Major Contribution to the Literatures
- New Results
- New Approach (Methods)
- New Data
Major Contribution to the Society
Do a Good Research
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Put into Writing
Just do it
Follow the format of a good article
(including the structure of the sentences)
Write every word carefully
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General guidelines of Writing
“One central and novel contribution of your
paper”
Example: Fama and French start their
abstract with: “Two easily measured
variable, size and …
The purpose of your paper should be one
page 1.
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General guidelines of Writing
“No reader will ever read the whole
from start to finish”
But you need to use all different
evidence to show your main results
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Format of Your Paper
Abstract
Introduction
Literature Review
Research Questions and Hypotheses
Format of Your Paper
Data and Methodology
Analyses and Results
Discussion and Conclusion
Appendices
Abstract
Less than 200 words
Main function: one central and novel
contribution
“Say what you find not what you look
for”
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Introduction
Tell the reader why topic is important
Cite literature only relevant to your work
Point out the drawbacks of the literature
State the purpose of your paper
State the sample of your paper
Summarize your results
Point out your contribution
Three-page limit
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Literature Review
Do you need a separate section?
Only relevant literature
Synthesize the literature
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Research Question and Hypothesis
Research questions are broad
Hypotheses are specific and testable
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Hypothesis Development
From the literature (theoretical )
From your own theoretical results of your
model
From your own theoretical arguments
Make sure you provide the arguments
when you cite literature
Hypothesis Development
From the literature (empirical studies)
Writing of the hypothesis development
It is possible that you have positive or
negative association
Make sure one paragraph for positive
and another paragraph for negative
For each direction: state the theoretical
literature and its argument and the
empirical results.
Hypothesis Development
Writing of the hypothesis development
(cont.)
For empirical results, please mention the
differences between the results of the
literature and your possible contribution
Recently, reviewers want one directional
hypotheses. One possible solution is stick
to a theory and make the prediction
Data
Hand collecting data is the best
Be careful about the accuracy of your
data
Summary statistics usually give you
some indication
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Methodology
Use appropriate methodology to
examine your research questions
Simple is better
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Analyses and Results
Be prepare to conduct analyses again
and again
Start with summary statistics
Next is univariate analyses
Finally, multivariate analyses with
control variables
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Discussions and Conclusions
Briefly summarize your results
Any policy implication?
Why the world is better off with your
paper
Should be short and sweet
Acknowledge limitations
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Appendices
Examples:
General version of the model
Robustness
Summarize all the things you did in the
paper and put details in the appendices
The Top Three Secrets of
Writing a Good Paper
Rewrite
Rewrite
Rewrite
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The Top Three Secrets of
Writing a Good Paper
Rewrite (editing)
Rewrite (more empirical work)
Rewrite (comments)
-Ask your friends and professors to read it
-Present your paper in conferences
-Co-author
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Writing
Keep it short
No more than 40 pages
Short sentence
No fancy sentence structure
General points
First describe what you do, then explain
it, compare it to alternatives
Writing
Footnote
Do you want the average reader to stop
and read this? Then it should be in the
text
Do you want the average reader NOT to
stop? Then delete
The typical reader genuinely can skip,
but a few reader might want to have
attached to the current point, the footnote
Tables
Self-contained caption so that a reader
can understand the fact
Regression equation is fine
Checklist before Submitting
Your Paper
Spelling and grammatical error check
References
Page number
-No page # for abstract or first page
Font size should be the same
Paragraph too long?
Checklist before Submitting
Your Paper (cont.)
Consistent style
Term: e.g., company vs. firm
Same term through out the paper:
References
Do not use abbreviation: e.g., F&F
Do not use Su et al. at least for the first time
If the reference is in the text, then it should be
in References section
Checklist before Submitting Your
Paper (cont.)
Use present tense for reference
Reference should be in chronological order
Use different way to report your results
-The coefficient of A is positive and
significant …
-We find A is positive and significant …
-Table A shows that
Same style for your references
You need to have your reference conform to
the format of the journal
How to Deal with Reviewers
Reviewer is always correct?
Point by point response
Do as much analysis as you can
Try to respond in 2 – 3 months.
A. Outline of a Research PaperResearch Topics (Team Work)
Introduction
Review of Literature
Data
Methodology
Empirical Results and Implications
Conclusions
References
Tables and Figures
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B. How to Get A Research Topic:Read, Read, Read, and Read
C. English-Editing for Your Paper before Your Submissions
Find a good English Editor to Edit Your Paper
English-Editor: American Journal Experts
(English Editor)
http://www.journalexperts.com/index.php
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D. How to Submit to Journal (Overseas or Domestic)
Find Some Journals in Your Interested Fields.
Get to Know this Journal’s Requirements and Styles
Consult your friends who have experience in
submitting the paper
Journals: AJBM, JWE, EM, QREF, IRFA, IREF,
AFE, APE, AEL, IJE, IEJ, EaEuE, EE, IJABF,
IRABF, IRJFE, SAJE, IJEF, CZEF, IJBE, JEmpF
IJFE,TEEL,TIJOF, ESWAs, EL, EcSs, MCISs,
PEPs, Physica A, RPBFMP, RJEF, QaQ-IJM, JDE,
JED, JBF, JIMF,….., and so on.
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E. Econometrics Software
EVIEW 5.or 6 or above.
RATS 6.or 7 or above.
GAUSS 7.0 , 8.0 or 9.0 or above.
PC-GIFT 10.0.
OX
Microfit 4.0 or above
EASYREG-2006
MATLAB 7.0 or above
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Idea
Unit Root Test: Converge (Income,
GDP, GAP…), Unemployment Rate,
Stock Market Efficiency, PPP, IRP,
GDP and so on.
Cointegration
Granger Causality
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F. Econometrics Methodology
Unit Root Test –
Univariate Test: DF. ADF, PP, KPSS, KSS, LNV, AESTAR
Modified ESTAR, MS-ADF, Fourier Unit Root Test
Fourier Stationary Test. Testing Unit Root and
Stationarity Test using Covariates (Hansen, 1995 and
Jansson, 2001) , Quantile Unit Root Test,
Testing Unit Root and Stationay Test with Covariates and
Fourier Function (Chang, 2011), KSS test with a Fourier
Function (Chang, 2011)
First Generation (Panel Unit Root Test):
L-L-Chu (2002), IPS (2003), MW (1999), MADF (1998),
Hadri (2001), Panel SURADF (BMW, 2001)
Panel SURKSS (Wu and Lee, 2009)
Panel Unit Root Test with structural Break – Junsoo Lee
(2004, 2005), Joseph (2005)
Panel KSS test with a Fourier Function (Chang, 2011)
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F. Econometrics Methodology (cont.)
Second Generation (Panel Unit Root Test):
Choi (2002), Chang (IV, 2002), Pesaran (2003),
Bai and NG (2004), Moon and Perron (2004),
Sequential Panel Selection Method (C&K, JBF, 2009)
Panel SURADF with a Fourier Function (Chang, 2011)
Panel SURKSS with a Fourier Function (Chang, 2011)
SPSM using the Panel KSS with a Fourier Function (Chang, 2011)
Cointegration –
E-G., Haris-Inder, J-J, Nonparametric (Briens),
ARDL-Bounds Test, TAR, M-TAR, Bai-Perron
ADL Test for Threshold Cointegration (Li and Lee, 2010)
Panel Cointegration, Rank Test (Brietung, 2001)
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F. Econometrics Methodology (cont.)
ECM –
VDC, IRF, GIRF,VECM, Panel VECM
Nonlinear Model –
TAR, M-TAR, Model with a Fourier Function
Smooth Transition (Auto)Regression Model
(Logistic STR, Exponential STR).
STECM (Smooth Transition ECM),
Threshold ECM, Regime-Switching Model
ARCH Families –
ARCH, GARCH, EGARCH, GJR-GARCH,
Multivariate GARCH , STAR-GARCH
F. Econometrics Methodology (cont.)
Panel Threshold Model (Hansen, 1999)
Panel Smooth Transition Model (Gonzale et al.,2005)
Markov Switching Model (Hamilton)
Panel Quantile Regression Model
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Congratulations! We have decided to
publish your paper…….
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Final Suggestion: Enjoy Your Research
and Work As a Team
Thanks a lot for Your Attention
Q and A
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