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( JMulTi
)

JMulTi Eviews JMulTi

( Eviews
JMulTi )
JMulTi

(Autoregressive Models, AR) (Vector Autoregressive Models)

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AR VAR

(1) ARiMA (2)


VAR Structural VARVECM Granger
(3) STR STAR
JMulTi

( Eviews )

ii

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Contents

Chapter 1

(stationarity) 3
()3
1.1

4
1.1.1 4
1.1.2 11
1.1.3 12

1.2

29
1.2.1 29
1.2.2 31
1.2.3 Excel 45

1.3

64
1.3.1 ()67
1.3.2 68
1.3.3 71

1.4

Chapter 2

JMulTi 72

2.1

78

2.2

112

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77

2.3

127
2.3.1 (dummy variable)129
2.3.2 140

Chapter 3

3.1

149

150
3.1.1 150
3.1.2 151

3.2

vs. 154
3.2.1 (OLS)154
3.2.2 JMulTi OLS 158
3.2.3 161
3.2.4 AR(1) 172

3.3

JMulTi
JB ARCH-LM174
3.3.1 MA(q)AR(P) 178
3.3.2 179
3.3.3 181
3.3.4 ARCH-LM ARCH(q) 182

ii

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Chapter 4

MAARARIMA
4.1

185

ARIMA 186
4.1.1 ARIMA(p,d,q) vs. GARCH(p,q)186
4.1.2 ARIMA 187
4.1.3 ARIMA 188

4.2

(MA) 189
4.2.1 MA(1) 192
4.2.2 MA(2) 195
4.2.3 MA(q)197
4.2.4 JMulTi MA(q) 199
4.2.5 Eviews 210
4.2.6 Eviews MA(q) 211

4.3

(AR) 216
4.3.1 AR(1) 219
4.3.2 AR(2) 225
4.3.3 JMulTi AR(p) 229
4.3.4 Eviews AR(p) 241

4.4

ARIMA 245
4.4.1 ARIMA(p,q) 245
4.4.2 JMulTi ARIMA(p,d,q) 249
4.4.2 JMulTi ARIMA 254
4.4.3 Eviews ARIMA(p,q) 257
4.4.4 JMulTi (income) 261

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iii

4.5

JMulTi ARIMA BDI


266
ARIMA 267

Chapter 5

ARCH-GARCH MGARCH
5.1

279

ARCH282
5.1.1 283
5.1.2 ARCH-GARCH 288
5.1.3 ARCH 291

5.2

GARCH 297

5.3

GARCH 302

5.4

JMulTi GARCH p q 307


5.4.1 JMulTi ARCH(q) GARCH (p,q)
308
5.4.2 JMulTi DAX 311

5.5

MGARCH 315
5.5.1 MGARCH 315
5.5.2 GARCH (1,1)BEKK 318

5.6

JMulTi ARCH (q) GARCH (p,q)


325

iv

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Chapter 6

VAR
6.1

335

337
6.1.1 337
6.1.2 VARVECM 342

6.2

(VAR) 347
6.2.1 VAR 349
6.2.2 VAR VECM 357

6.3

VAR 367
6.3.1 368
6.3.2 371
6.3.3 376

6.4

382
6.4.1 Chow 384
6.4.2 CUSUM 386
6.4.3 (TAR) 388

6.5

Chapter 7

JMulTi VAR397

Structural VAR (SVAR) 431


7.1

SVAR 432
7.1.1 Structural VAR (SVAR) VAR 435
7.1.2 SVAR 437

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7.1.3 SVAR AB-439


7.1.4 SVAR Blanchard-Quah 444
7.1.5 SVAR
446

7.2

Chapter 8

JMulTi Structural VAR450

VECM
8.1

459

VECM460
8.1.1 VECM 460
8.1.2 461

8.2

(VECM)463
8.2.1 (ECM) (VECM)
463
8.2.2 464

8.3

JMulTi VECM 470

8.4

VECM 1471

8.5

VECM 2
476

8.6

JMulTi VECM BDI


499
BDI VECM 499

vi

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Chapter 9

STRSTVR
9.1

523

(STR)524
9.1.1 529
9.1.2 (STR)543
9.1.3 STR (linearity test)552
9.1.4 STRSTAR 555

9.2

JMulTi STR 557

9.3

(STAR)566
9.3.1 STAR 569
9.3.2 STAR 570
9.3.3 TV-STAR 573
9.3.4 TV-STAR 574
9.3.5 STAR TV-STAR 577
9.3.6 580

9.4

JMulTi SNAR 581

9.5

598
598

Chapter 10

611

10.1 612
10.1.1614

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vii

10.1.2615
10.1.3621
10.1.4624
10.1.5626

10.2 EViews 634


10.3 JMulTi 642

Chapter 11

663

11.1 667
11.1.1669
11.1.2670
11.1.3 (VECM)679
11.1.4680

11.2 Granger 681


11.3 JMulTi 684

References

viii

707

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Chapter

(stationarity)
()
1.1
1.1.1
1.1.2
1.1.3
1.2
1.2.1
1.2.2
1.2.3Excel
1.3
1.3.1 ()
1.3.2
1.3.3
1.4 JmulTi

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(Econometrics)

()

1970 1980
2000
(James Heckman) (Daniel
McFadden)
2000 Heckman McFadden

(CRB
)

1970
-

(
)

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Chapter 1

(stationarity)
(GDP
)

ARCH ()
-

ARCH

ARCH

()
()

(OLS)

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19501960

1.1
1.1.1

1.
a, b ,c (constant) (coefficient)f, g,
h i, j, k x, y, z X, Y, Z
2. X X X 8 = 8 X mn
r
X (determinant) m n
()
X
X

0.3A

r 0.1
det(A) A
X =
0.2
n

0.4

X%
()
X% = X + X + X
1

X
4

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(Y Y )2
(02)2705-5066 i=1

Chapter 1

17
19

8 =
8
r
8 =
88 = 8
3. X (bar)
X
Xi 8 = 8
r
r
r
m1 (vector) mayrix
4. X8 0.3

X
X
X
X X m 1
=
8
8 =88 =8
8 = 8
rr
0.3
0.3 0.3Xr =

r
r
0.1

X
= 8
X X8X= 8
X8 = 8
X
r 0.1
r 0.1 X0.2X
r 80.1
r
r
r
0.3

X = X =
X = X
8 = 8X
0.3X

8
=
8
X
X
0.4 0.3
X
0.2 0.28 = 80.3

0.2

r
0.1

r r%r0.1
r 0.3
0.1
Xr
X 0.3
X
=
X
X Xr = 0.1 0.3
X
0.4
0.4

X = X =0.2
0.4
0.1
0.20.2

0.2
r
r 0.1
r 0.3

0.3
X% = X0.3
X 2+ X 3
0.4
X%
X%
X%X = 0.1

1 +

=
X
=
X
0.1

0.1
0.40.4
0.4 0.2

0.2

0.2
r
r
0.1
%
+ X
X% = XX%1 += XX21 + X
X 32=X
X =

X = X = X 1 + X 2 + X 3 %
X%3X%

5. X%n
(fuzy
number)
0.2
X (,
0.4

0.2
0.4
0.4
0.2

X
X
X
2

%%=(YX Y+ )X

+
X
X
%
%
1 )(4,
2 + X
3
0.4

+X
+ XX
+ X3
X =,
XX0.4
X 1 +X%X 2
X% (3, 4,X7,= 9)
X%6)
1=
12 +
23
3 5,
0.4
n
n
n
i =
1
2
2
2

% X + X + X % X
(Y
Y(Y) Y
) X

X%(Y= XY1 )+ X 2 + XX3 X% 1=


X1 + X 2 + X 3
X% X=
X
1
2
3
YX% nX
i =1
i =1
i =1
n
n
n
%
2
2 XY= X
X2 + X3
2X
X% = X 1 + X 2 +YX 3 X
X Y ) 2
X% =X
X(1
X 13+
Y
Y
2Y
3)
2)+

(XYY(
YXY)X
(Y
Yi=+XY

1
n
n
n ( X X )(Y Y )
i =1 i =1
i =1
N X X=
X
6.X=X
(head)

YbXa
YX Y
X) 2 Y

)2
b

(Y Y ) 2
Y
Y
(

Y
Y
Y
X
.
Y

XY
n
n
XY XY NYn YNX 2

((
)
Y
X
n

(
)
X
X
(XX)(Y iX
X
Y Y) Y2 )
i =1
i =1 ( X X )(Y Y )
=1 )(

N
Y ) (Yi Y
=
bY . X =bY . X =
bYY. X ) 2=
) 2 (Y

(Y
(2Y =Y2) 2 =
XY
Y2Y
2

N
X
X
( iX=1()
Y 2 ( X )
Y
X )XY
=Y
iX
(X
)1 X ) ( X i=X1 )(Y Yi=)1
X
( XX XY)2
(
XY

XY
XY

N
X 2 Xb2 YN

(XXY)(
(X
N
n

YXYX))(YYY)2 YY )N
(=
X(X
X)(
NY
N X =
Y
2
=2
=
= X Y
bY . X =bY.YX. X==N (Y YN
bY .N

X
(
2X ) 2
2

(
X
)
2X ) COV
2 X i Yi

XY
XY
2

XY

i
N
N
Cross 2(XProduct
(
()(
)Y XX)(
) YN)(X
(X)(
) YX))(Y
X
(XX) YX )
(
( XY
Y )
1 X
Y
Y)
2 (XX

X2
1 ( X i
=1 X )(
N
=1 X
N = 2i=xy
= iX
=Y =Y Y)

Y=2X()

X
Y( X i X )(bYYN
XX

=
=
bY . XX=

bN
2 X iYi =

i
X
.

XY
Y
X
.
2
2
2
SS
S
2
) Yi=X
X X
X
COV
XN
YX)iY=1) Product
Product
Product
CrossCross
x (XY
(XX))(Y NY)2
=((COV
()(
XY X N 1NNNX= 1N
X XX) )COV
xy
(X
X=)(Cross
1N (
X
2 (X

N 1xy)YY))=
b2Y=2
=N N=X
=
= b = = N = N Nb
=
=
X 2
. XX=)(Y
(
X
Y
X
N
=
Y .X 2 =

2 bY
2

2
2
i
i
N
2
X
.
2SS
x)(
1(Y
)(
XSX
YY2)) Y )
2X)
2 X)
2
SS XY . XSS X

iX=(1X
( X
(=X
)N2(XS(X
(2X X ) N ( X Sx X

(
X
xN
X ( X X(N
(
)
X

1
i
(
)
X

)
X
X
(
)
)
X

)
X
X
COV

2 i

Cross
Product

2
i

(
)(
)
X
Y

X
Y

Y
N
xy

1
N

11N Ni1 COV


i i Product
i
COV
X
XCross
Product
Cross Product
a = YCross
==bX
2=
N N 1 N
i =1
2 =
X
=(2 XxyiS=12 2Xxy)(Y NY ) i=1
=b
= N=1= N= (i=X
=
N( X 1 X =)(Y Y )N (

)
2X
2 i
Y . X = SS SS
X
x
N
N

N
SS
S
S
SS

(
(
)
)
(X
X
X
X
X
1
i
=
'
X
COV
X
X
x
( XProduct
Cross
Cross
Product

)(Product
Cross
a = Y a=bX
Y bX
xy X )(Y
Xx a)(
Y
1
=
1 YNY=)bX
Y )X N
(YX)i =
Y
(
) 2X XN
X

X () 2X N
=
=
=
=

=
=

i(
1
N
2
2
2
2
Product
1XNi=1 1
N
COV
2
SS
SS
i =1 CrossNSS
S

(
)
X
X
+ 3 Product

(
)
X
COV
xy
'
X' X' Y=X
X
COV
X
X

1
N
Cross
Product

x
Cross
( X==i X 2)(Yai N= YY)1 bX = 2 xy
=1bXX i = =N N 1
== = xy
a == aYa==YbX
YibX
2 ( X X ) 2i =12
2
2
SS
NSx 1

1
N
SS
X

S
=
+ 3 S x ( X X )COV
Y = XY2 =+ 3X 2 +Y3' = dyX=' 2SS
Y
X
(NX X ) Cross Prx oduct X

XX
xy
1
N

' X'
'
Xdx
X
=
=
=
a = NY bX N 1a = Y 2bX
a = Y bX
dy dy
Y ) N 1 dy
N (X1i X )(Yi SS

=2=+
+
XX32 0.1
X
2 3
=2(XX XY )=2 X 2 + 3 S x
Y ' = Y ' = 2 X = Y2 X=YXY0.2
Y'=
1
i
=
0.2
0.5
0.3
+
0.4
3
=

a
Y
bX

X' i
X'
X'
=

a
Y
bX
dx dx a = Y bX
dx
i =1
Cross Product
dydy
dy
0.1 N0.2 1 0.7 = COVxy
2
2
2
=
=
=
4
'
X
=
0.5
0.2
0.
X
dy
X= 'X0.5
==2 2XX0.2 Y
0.2
0.5
0.3+3 0.3
= X 0.1
0.1Y '0.4
0.1
3 0.5 0.3
Y0.2
N
0.2 0.2
N+ 310.4
' '=' 0.4
X '
=YXY
==dx2X
Y ' = Y == 2XX +0.2
SS X
S x2
2

2
(
)
X

dx
dx
dx
0.3
0.7
0.2
0.4
0.4
0.2
2

i
2
= Xdy
+ 3 0.7
43X ' = X0.1
' = Y 0.2
0.1
0.2
0.7
X 'dy
= 0.1 0.2 0.7
0.5= 0.5
0.2 Y0.2
0.=4X
X = X
dy0.2 0.4
a = Y 0.5
bX
Y =0.3
X + 3X = Y 0.5
0.+0.2
2iX
1 0.2
=
0.1
0.4
=
=
=
'
2
'
20.4
X
Y
X

=
=
'
Y
0.5
0.5
0.3
0.1
0.4
0.1=0.4
0.2
0.4
dydx
0.2

0.4 0.2 0
0.3 0.3
0.2
0.3 dx0.7 0.2 0.2 dx
0.3
0.2
0.1
0.4 0.3
0.7 0.7
0.2dy
0.2
0.40.5
0.4
0.20.2
0.2
0.20.1
0.4

1
N

dy


=
4
'
0.1
0.2
0.7
X
=
0.5
0.2
0.
X

=
=
'
2
Y
X
=
=
'
2
Y
X
YX2' = X0.5==20.5
X
0.10.2
' =X0.1
0.7
0.2 0.5 0.2
X0.2
' 0.1
= 0.1
0.2
0.2
0.7
40.2
X
' = 0.3
0
0.2
0.40.2
0.40.7
0.5
0.2
0.
X = 0.4
0.5
0.1
0.2
0.1
0.4
0.3
0.4

dx

X
=
X
'
X
=
0.5
0.2
0.4

a
=
Y

bX
dx
0.2
0.2
0.5
0.5
0.3
0.3
0.2
0.2
0.1
0.4
0.1
0.4
0.2
0.5
0.3
0.2
0.1
0.4

dx 0.3 0.7
0.2
0.4
0.4 0.2


5
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0.3 0.3
0.20.2
0.2
0.4
0.4
0.3
0.40.2 0.7
0
0.7
0.7
0.4
0.2
0.2' =0.2
0.2
0.4
0.10.20.2
0.7
2
40.7
' =0.2
0.5
0.
0.2
X0.2
X
0.7
0.2
0.4 0.4
0.4
0.2
0.3
0.7
0.2 X
0.3
0.1
0.4
0.2
0.5
0.3
0.1
0.4
0.2
0.2
0.1
0.2 0.2
X 2 = XX 2' X
0.1= 0.2
0.1
0.7
0.5
0.2=(02)2705-5066
0.40.1
0.4 0.4
X
'=X0.3
0.2 0.4
=X
= ' X
0.7
X0.5
=0.5
=
X 0.5
=0.5
0.5
X
0.5
X0.1

0.2
0.5
0.3
0.2
0.1
0.4

0.1
0.5

X =0.5
0.2
0.2
0.3
0.2
0.1
0.4
4 0.1
'0.5
= 0.1
0.
0.3
0.2 0.2
X0.7
0.3
0.20.2
0.4
0.2
0.2
0.2
0.7
0.2
0
0.2
0.4
0.2
' =0.4
0.4 0.7
X =X0.4
0.4
40.5
'0.7
0.1
0.7
=0.3
0.2
X =0.4
0.4
0.
0.4
0.3
0.7
0.2
0.2
0.3
0.3
0.7
0.2
0.2
0.30.7
0.70.20.3
0.2
X0.5
0.2
0.4
2 0.5 0.4

i =1
XX i ) i=1
X( X i X ) Y Y

% = X + NX +2X (Y
X

XY Y
1
2
3
1
1
i
i
=
=
Y
Y
Xi
XY
XYX

( X X )(Y Y )
0.3Y X Y

XY
2
N

XY

i =1

X
(Y Y )
Y ) Y )
( XXY)(YX )(
XX
(

XY

N
X
Y

N
r

0.1 N
bXY .
Y. X b(=YX. X =X )(Y Y )2 =N

=
=
X b=
N

XY
2

Y
2
2
XYn N
Y) )X ) (
2 ( 2X X )(Y
bYX
(X2(X
) =
X )(
YXY )(
XY
X N(
. X = ( X
XX () XX=)
X)

Y)=(X
2 ) 2)(
0.2 2 ( X(i
X ) 2YiN Y )
X
X
(Y Y ) 2 2 =
(
X2( X
X
bY . X =
bXY . X

2
=
=
b
2
1
i
=
X
N N2 N 2 ( X )
Y .
(
X)
(XX X ) ( X ) 2
i =12


(X X )
COV
0.4

2 N 1
X Cross Pr oduct

xy ( X X ) X

X
Y

X
=
= N
=
X (
YX
Y
N
2
Y ) Y )
)(Y
XX ()(X
X ))(
(
N
XY N ( X XY)(Y Y )N SS X X%
2 ( X XS)(
xY Y)
COVX
(
)

X
X

Cross
Product
COV
xy )(

Cross
Cross
Product
Product

1
N

(
)(
)
X
X
Y
Y
Yxy Y
=
xy
1
1= ( X=COV
N N
X
YCross iProduct
=
=COV
2

(
)(
)
X
X
Y
Y

2
xy =
=
=
=
=1

1
N
2 = 2
%
2
(
)
X

(
)
X
X
2

XY
=
+
+
X
X
X
X
2
2
=
=

SS
S
COV

(
)
X
X
1
2
3
Cross Product N

Product
( X
Y Y )xy
2 COV
SS SS Cross
S 1x S x
x
( X ( XX=) X ) N
1SS
N
NXProduct
)(
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ross Product
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Cross Product
7. X ' (prime)(1)

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xy 3
Y
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=
Y ==X 2 +X3'
N 21=
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dy
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0.5
0.30.5
a = Y bX
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0.4dx
0.3 0.3
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X0.1
X0.1
dx
0.5
0.1
(0.2
0.2
0.4 0.20.2
0.2
2

dx
2
0.2
0.5
0.3
0.2
0.1
0.4

+3

= 0.5 0.5
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=X'0.1
0.70.2
0.40.2
' 0.4
0.50.1
0.3
N
0.2
X 0.1

X
0.2
X
0.1

=0.2
=X0.4
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=0.2
0.2
0.7 0.5
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0.70.2
0.2
0.5
0.3
0.4
0.2
X X'==X0.1
0.5
0.1
=
4
0.7
0.5
0.
X

2
0.2
0.40.0.4
0.2
0.20.20.70.
( X 0.3
X ' =X 0.1
X = 0.5
X0.3
0.7
)(0.7
)X0.7
Y
Y0.2
= 0.5
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= 0.1
0.3
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0.4
0.2 0.2
= 2X
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0.1
0.2
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40.4
0.4
0.3= 0.5
4 X0.4
0.2
0.7
0.4

x
COV
Cross Product
xy 0.70.20.20.1
0.3 dy
0.5
0.7 0.2
0.4 0.2
N 1 0.20.2
0.3
0.5
0.30.5
0.40.1
0.30.30.20.2
0.40.4
0.1
= 0.4 0.3
=0.2
0.4
0.2
0.4 0.4
0.2 0.4
2 X
Y ' = 0.5 = 0.3
2
0.1
0.4
0.2 0.1 0.4
2
0.20.70.5=0.20.3

0.2

2
SS
S
0.1
0.5
x
X2 (=X'XXX2==' XXX)0.2
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0.1
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0.5
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0.2
0.3
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0.2
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0.4 0.1
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0.5
0.5
0.7
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(3)

0.7 0.3
0.5
0.4
X ' 2= 0.1 0.2 0.7 X 2 =X ' X = 0.1 0.2 0.5
0.5 0.2 0.4

0.5 0.2
2
1 0.4 X 0.4
X 0.2
0.2 0.4
0.5 0.3 N
0.4 2 0.5 0.2
0.20.1 0.1
0.2
0.3
0.7
0.20.7
X = X 'X =
' X0.4
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0.7
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0.20.3
0.7
0.4
0.5
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X = X 'X
0.20.2
0.3
0.4
0.4 0.4
0.4= 0.1
0.4 0.2 0.7
0.70.4
0.3 0.7 0.2

a
Y
bX
4
X
'
=
0.1
0.2
0.7
0.2
0.
X = 0.5
0.2 0.4 0.2 0.3 0.7 0.2 0.4 0.4 0.2 0.3 0.7
0.3 0.7 0.4
0.4 0.4 0.2

0.2 0.5 0.3


0.2 0.1
0.2 X '
X
0.3 0.4

0.7
0.4
0.4
0.2

2
' X = 0.1 0.2 0.7
= X 0.3
+ (/)
3 0.2 0.1 0.4
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0.5 0.2 0.40.2 Y0.5
0.4 0.4 0.2 0.32 0.7 0.2

dy
X = X ' X = 0.1 Y0.2
0.5 0.2 0.4
)
= 2X
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dx
t

0.2
0.4 0.4 0.2 X 0.3
8. X X' (transpose)
900.7

0.3
0.2
0.1
0.4

0.2 0.5 1
9. X 1 (inverse) X
4
0.25 4
X 1

X ' = 0.1 0.2 0.7


X = 0.5 0.2 0.4
1
1
1
4 1 X mn

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X 0.2
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0.4
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0.1

=XX
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0.11 10.2
0.7 0 / 0.5
0.4
0.5 0.4
0.2 0.4X
0.5 0.2
0.4
0.2
0.4
X = 0.5
X = 0.2
0 =
00 /1 0.5
0.2
0.4
0.4 0.2 1 0.3
0.3 0.2
0.7 0.2
0.3 0.7
0.2
0.7 0.2
0.2
0.3 0.7
0 0 01 0 0.3
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0.2

0.5

A 0.7
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Chapter 1

0.2 0.1 0.4


X = 0.5 0.2 0.4
(rang)
0.4 0.7 0.2
0.2 0.1 0.3

0.4 0.1 0.4


0 01 0.2
0 0 0.10.2
0.4 0.1 X0.4
0.2 0.10.2
0.2
1 0.4
=00.5
X
0.20.10.40.4
0.2 0.1
0.10.40.4
0.2 0.1
11 0 0 0 0 0.2
0.2 0.1
10.100.40.4
0.2

=
[
]
[
]
X
x
x
mn
ij
ij
0.5
0.2
X 1 = 0 X11 =00/ 0.5
0.5
0.2f

(1)X 0.2
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t
= 0.5
= 0.2
0.4
0.4
0.5
=1 0.5
10.5
0.2
0.3
/ 0.50.70.20.20.4
1
10

0.4
0 00.2
10.4
0.4
0.1
0.4
0.2
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0.4
0.4
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0.10.4
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0.2
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0.1
=0.1
10100110010.4
0.20.4
0.4
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0.2
0.4
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0.2
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0.2
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0.5
0.2
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0.4
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0.5
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0.4
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b
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0.5
0.7
0.2
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0.2
0.3
0.2
0.70.2
10.2
0.3
00.410.5
1 0.7
0.3
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0.20.4
=
=
X = 0.5 0.2X =0.3
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X
0.4
0.4
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1
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0.5
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1
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0.2
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1
1
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0.5
0.5
0.2
0.2
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x
x
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]
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0.3
0.3
0.7
0.7
0.2
0.2
0.3
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0.2
0
0
0
0
1
1
0.3
0.3
0.7
0
0.7
0
0.2
0.2
1
0.3
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0.2
m
n
ij
ij


0.2 0.1
0.4 0.2 0.1
0.41 0 0 0.2 0.1
1 0.4
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0.3 X0.7

,
X
X
X
=
=
[
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[
]
[
]
[
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x
X
x
x
x
X
X
(2)
ymax
f(t)
y

f(t)

output

0.2
0.3
0.7
0.2
0
0
1
0.3
0
0
0.7
1
0.2
0.3
0.7
0.2
0.3
0.3
0.7
0.7
0.2
0.2
0
0
0
0
1
1
0.3
0.3
0.7
0.7
0.2
0.2
0.3 0.7

,i ,0.2
mn
ij
mn[ x
0 10.4
0=10X
0.5X0.2
X, b10.2
, 0.4
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, 1X 2
XijmXmnmn=n [=x0.3
ij[nijx] =
mX
[mx0.2
] X
, =g0.2
]Xij ]=ij0.7
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0.5
0.4
1 0 /i=1 0.5
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ij ][ 0.4
n ij0.2
m1
nm
n 0 / 0.5

n
,ij[]max
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xijij,ij[]
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X mn = [ xij ] , bX, mg,n (3)
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X
output
t
ij,nnb
ij
ny

m
m
n

m0.3
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m,,
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0.3
0 0 1 0.3
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0.2
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X i X 1 , X 2 , X 3 , L, X
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20.4 3
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2 , Xi3 , L ,1 X N 2
X ,XX,2X
X
,,
,L
, X0.7
,NX
i =1
=X
n i
n1 X
n0.2
n
n , X
ii =
1Xi =i1X i
,
,
,
X
X
X
X
L

X N 0.3 0.7 0.2 X

N
2 ,
3X
3, L
0.3
0
0
1
i
1
=
n,n b1, g1,
n
=i1
1=

,
,
,
,

1
ii=1 i
2 3
dt
X i = X
XXi 2i==1 X
X
L2 X
Xn3 L
M =Xnn MX i=n n n X

1
3
iX
=X
11
n
i
=
1
X
X
X
=
X
=
X

L
=

X
M

M
=
X
=

L
X

X
X
M
=
X
n
n
n
n
n
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1 1 X2 2
3 X3ni i n 1n
n i =X
3
i
nin
n n
n i in

i =1
12 ]
=1 n i i
dI
n i =i1n=ii1=1 [ xij ]
[nxM
X
Xi=m1 n dx
d 2 x nn X
1X
=1 i
=X
=
mX
n =
ij
X
n1
n
iX
i=
=iX
1
1n=
X i = X 1
X2 X
i
Xi
=
X
L
=XiXXX

X
M

L
=
X
X
M
=
X

X
X

L
L

M
=
=
nX
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X
X
X

X
M
,
,
,
,
X
X
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3
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n
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n
i
i

i=
1
1
2
2
3
3
n
n
i
i
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1 1 2
2
3 3 dI
n i n dI
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2i
3i
n1 X
X
2
dx
dx
dt
dt
X
i i
nii
i =1
i =1
i =dI
1
iin=
1 ni =1
=
dx
dxXi=1 i,=1b, gn, dI
nX
n dI
n dt
1=dx
1=1 i =1, ,
=i1
=i1
,
, ,
M = ii==11 i
i =1 i =X
1 i = X1 + X1 + L + X N 2

X
X
X
M
=
=
+
+
+
+
+
+
=
=
X
X
X
X
X
X
X
X
M
M
L
L
n
n

dt
dt
dt
dt
=
+
+
+
=
X
X
X
X
L
n

d
x
i
i
N
N
1
1
1
1
X
X
=
X

=
X
X

X
M

=
X

L
X

X
M
=
X
i
dx
dx dx
n
dxdx
N
1
dIi dt1 (dot)
2 dI
3 ndI
3 dt1 i
n
in=1n ni 2
d I
dt
dtdIi dtdI
X
i =1 dt
i =(differential)
1
n
x
2 14.
i =1
i =1
XXi dt 2 t
i =1 X
dX2 x
i =1 X n XX X

,
X
X
X
n, X i2=,1 X 3 , L
d
x
2
2
2

i
N
1
dt
dt X ddtdtdxdtx Xn n dt d x dt dtdt dt
dt 2
n
M = i =1
i =1 + L + XXdI
X
=
+
X
X
X
2 2
2 X X dx
dx
dI
2
X

i
2

i
N
1
1

2
2
X
X i X i v
dt

2xX
2
d 2x
Xv
Xi

X
d x dt d x
ddt
d2

n Xn I d I
dx2 xX
i =1
idt
=1
dt
X
X
i
i
=
1
=
1
X
2
2
2
2
dt
dt
dt
dt
i =1
X d I

2
Xi
d x
2 I2 dn n x
dt 2
dt 2

dd
dt 2
dt
dt22 2n 2
dI 2 I 2 d 2 xd 2dx22 xdnn2nI n
d 2x
2
nX dt
X dt

n
i
=
1
t
x
2
d
x
X
X
X
X
X dt
2
XL
=L X
M=n
Xi

+x 2X
+XXX1N X 22 XM
X2ixi= M
Xddt

2 22x

dt
1 n2+X

X
dt
XddX2X
2Ix
XdX
L

=
=
Xii i==
d 2X
I i X=i X=1 X
d22 23I2L
X
X 2 X33 L nXnn M = n
Xi
dI22
I XdnX
d n
xi=

n2d
i 1 dt
dt1 M
dt
dt
21 2 2 3dt dt

1
i =1
i =i1=1
X
X
Xi=X1
dt
dt
X
22
2
2
i =1
2 2 2 dt 2
2 2 2i =i1=1 i =1
dti=21 t
dt
dt
dt
dt
n dt
n
n

dt
dt
dt
2
dx d 2 x d 2 I
dI


d 2 IdIX
dx dx
dI
dI
X X di x
Xi 3 dx
L X n M = n

1
2
X
XX
X X
Xi =X X
X

X
(
)

2
2
2
2
dt
i =1
i =1
1 dt dt
dt i=dt
dt
dt
dt
dt dt
dt
dt
n
n
d 22x
dx
dI
d 2 xd 2 x
d
x
X
X 2 2 X 3XXL
X i = X1 X
X n tM
= n Xi
15. 2

X X (double dot)

dt 2
dt
dt
dt dt 2
i =1
i =1
dt
2
2 2
d
d 22x
d 2dx2 Id 2Idx

2I

d
x
d
x
dI
d
I
d x
X

t
X
X X
X
2 2 2
X
dt 22
dt 22
dtdt
dt dt
dt 2dt 2
dt
dt
dt

()

d 2I
d 2x

d
x
X
X
2
dt125
dt 2
x t

dt 2

d 2I
d 2x

x
( 2 )
X
2
dt
dt

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(02)2705-5066

()Xt
22

2 dd I I

d
I
a
X
a

a
X a
It
d222IIt
a
X a
d 22IIt
dt
dt
a
X
a
It
a
dt 2
d 2 x X a dtdt 2 It
()Xt
()Xt
()Xt
(
)


()Xt
()Xt

dt 2

22

2 dd xx
1- 1

d
x
2
(
)
(
d2 2x )
)
(
d 22xdt
dt
(
)
dt
(
)
2

dy
d2y
2 dt y

11

dt

11

1-
1
1-1
1- 1

22
1-
1
dx 2

dy
dy dx
2 dd yy
y yy

dy
d y 2
y
dy
2

2
d 2 y dd2dy22Iy d 2 2y
ydy dy

RI

ydy dy

dx
ddI
yd dx
dx dy
2 dx
y
dx 2

2
2
2

dy
dx
dxdx
2 dx
22
dx
dx 2dxddxydx dx

dx
dx
2

RI
dI

RI
dI
dx
2 dd I I
dt

RI
dI dt dI dx 2 V
d 2I d 2I
2
V d 2 Idd 2 2II dI
dI
V dx
RI

I dI

RI
dI
V
dI
d
2 2I
=
I
=
I

dt
2
=
I
d 2Idtdt I
dt
= V dt
V
VI
dt 2 dt 2
R dt 2 dt
R( I =
dt dI R
dt 2 2 ddt
2 dt
R
dt

)
=
)
(I
dt
dt
VVV R
dt
dt
2
dt
dx2 dx
d 2x d 2x
V
I I=
ddt
x

R
= V)
)
dx dx
d 2 x
( I =( (
)

2
2 2 dx
V =RR )

2
dt 2 dt 2
dt
dt 2 dt ddt x dt
( I = (RI )
dy dy
d yddt y
2
R Rdx dx
dx2 dx
d 2x d 2x
dx2 dt
d 2 xd x dt
dx 2 dx

2
dt 2 dt 2
dx
ddt
x
22 2 2

dt

dt
dt

dt
dt
V
dI
d
I
V
dI
d
I

=
I
I=

2 2
dt
dt

X
X
R R
dt
dt X
X
X
dt
dt

X
2
X
X

/
F
/
F
dx
/
F
dxdx d X2 y d 2 y 2ddy2 xdd 22xxddX 2x2x d 2 x
/
dx dx
/F

F
dx
2
2 dy
d y
/
F
dx
2dy=d0
d
y
dy
d
y
dy
2x = 0
/
F

xM
++
+2 cy
a ++ b dt

xM
22xdt
db cy
+db2dt
cy
2 2 dt
+ 2b
+dx
=dt
a + a +2 dx
cy+dt
0 =dt0 dxa2 d+ 2dx
dt

xM
x
M
dt
dy
y 2 dxdx

xM
y
dy
dt
dx
dt
2
dt 2
xM
xM
dx dxa +dx dx+
dt
b
2 2dt
2 +2 cy = 0
2
2

(F=xM)
2

(F=xM)
2
2
dt

dy dy
ddx yddx2 y dI dx dx d x
(FxM)
F

dx
V
ddtx d

(F=xM)
dx
dI x d 2 x

(F=xM)
dx dx I = dx
d 2 x2d x2 dx

(F=xM)

2
2 2
2

2
(F=xM)
F
F
dx dx y
dx2 dx
dt
dt

2 2 dtddtdI
dt
dt dtdtd2 I dt 2
dxIR= V
x dt
F
dt
dt
dt
dt
dy
d
y
2
F
F

2
V V dt
dI
d Id2 I d 2dy
dI
F
y

R
dxd 2dt
x dt 2 dy

y
y d2y X
y
X X
I 2=yId =2dx
y
dydx 2 dt
X2
d
dy
2
2

2
y
2
R 2R 2
dt
dt Fdtdy

F
y

F
dxdx
dx 2 dt dt 2 dtdxd x dx
dxdI
dx 2 ddx2 yd 2Vdy ydyF
dx
dy
d
I
2
2
2
2

F
2
dx
d
x
+
=
a +a +
b
cy
0
dx
d
x
+
+
=
b
cy
0
dx
dt
d
x
dt
I 2=+dx

F
F
dx
2
dx
dI
d 2I d 2I
dI
2
2dF

F
I

dIdtdxdI
d dt
dx
dx
dx
dx
dx
R
V
IR
V
=
=
2F
2 I V2 = 2 2V =

V
IR
V=
=

=dx
V =VIR= IR
Vdt=V
=V
dt
dt=22 dtF
dt dxdI
Vdtdx
x I2 d
2d d
dt
dt 2 dt 2
2
F
dtd2 2xx
2dtdt
dt
dt

dt
dt

dx dx V = IR
d
x
d
x
dx
d
x
V
V
=
=
F
dx
2 d

dt
2 x
dx2 dx
xd 2 x
dy
d 2 dy 2

dtdt
dt
d222x
2X

dt dtdt2dtX dt
d 22xdt
dt dt
dt
dt
2
2 2
2
dt

dt
dt
dt
dt
dt
dx
dx

2
dt X
d
x
2
2
2
2 X
2 dt

x
dy

d
y
d
y
dy
d
y
dy
dx
d
x

x
x a +
dt d 2 I
+ b

+
=
cy
0
V
dI

2
2
X
v
X

2
2 X
X v
X X
X
Xdt

=dx
IdxX
x
x
dy2
ddty
dx dx
dx 2 dX2 yv
dy

dx
dt
2

+X
+2 cy2 = 0
b Rv
X
dt
dt
2 a + X 2 v
X
ddx2 yddx
y dy dx
dy
dI dI
d2 I
d x
dxdx
2
d 2I

x
+2b + b
+=2 IR
aIR
Va +=V

+ cy+ =V
cy0==V0X= 2 2
dxV =V X2=2 2
d x
Vdt 2 dx
dI
ddt I dt
dx dx
dx dx
X v
X
dt dt d x
I = d2 y
dt
dt 2
dy 2 dt2
2
2
R
dt
dx
d
x
dx
d
x
d
y
dt
dy
dt
+
+
+
=
0
a
b
cy

dx
d 2x
dx
d2dd2222y2yydydx dy
2
2
dy
dx
d
x
dt dtd 2dx
dt 2+cy=0
dt
y
dx
dy
a
+b
a
+b
+cy=0
d 222ydy dx
dy d 2 x
dt
dt 2
a
+b
+cy=0
2
2
2dx
2
d 22ydx

dx
dx
dt
dt
d
y
dy
d
y
dy
a
+b
+cy=0
dx
dx
dI
d
I

dx IR dx
a
2 =
dt V 2= +b
dtV
2 V =
dx 2dx +cy=0
dx
2 2 X
X

dx
d
x
dx 2 dx 2dx
dx
dx
dt
dt
dI
d
I

2
V= 2
d 2 y dV =yIR
dy V =

dy

dt
dI
d 22Id 2 I
d 2dt
y dI dy dt
dt
2
M
a
+b
+cy=0
V =VIR=
V
V
=
=
=+ b
+ cy = 0 V=2 2
a + V2 dx
dxIR
2
dt
dt
dt
dt
dx
dx
M
M
dx
dx X dI
X

M
d 2I
M

dx
d2x V = 2
V
IR
V=
=

M
2

d y
dy
dt
+
+dx
a + 2
b
cy = 0 dt

dx
dt
dt 2

dx

dx
dx dx
2

ddt
y 2
dy
dx dt

dx
d x

dt
2

dt
dx
dx
M
dt dt
dt22 2

2
d
x
dI
d 2I
d
x

d= 2IR
xdy 2
V
V
V
=
=
d2y

d2 2x

dt
dt 2
d 2xdx
dt
dt
dx

dx 2
dt

2
dt 2 dtdI

d
I
x

x
dt V =
V = IR
V= 2
x
x
dt
dt
x

d 2 x


F
F

F
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dt 2

F
(02)2705-5066
x

Chapter 1

d2 y
dx 2
V
dI
I=
1-1 ()
dy
d 2 yR
dt
dx
dx 2
dx
/
V
dI
d 2I
dt
I=
R
dt
dt 2
dx
dx
d 2x
dt
2
dt
dt
X2
dx 2
d x
d y
dy
+ cy = dt
adt+ 2 + b
02
dx
dx

X
dx
dX2 x
d2y
dy
dt
dt 2
15
+ cy = 02
a+ 2 +b

dx
dx
d y
dy
10
ddx2 2x
dx
Y(nT)
dx
5
2
dt
dt
dI
0
V = IR
V=
2
2
2
2
dy
dy
d
dy
y
d
y
d
y
d
y
dy

dt
22 24
X(nT)*
5 0 2 4 6 8 10 12 14 16 18 20
2 dx 2
dx
dx
dx
dx2
dx 2 dx
dx

10
2
V
V
dI V
dI
ddI2 I
d 2I
dId I
d2
I=
I=
I=
15
V = IR 2
V=
V=
2
2
R
R
dt R
dt
dt
dt
dt
dtdt
dt
2
2
dx
dx
ddxx
d x
d 2x

dt
dt
dt 2
dt 2
dt 2
2
dx
dx
ddx
x
d 2x
d 2x
2
2
dt
dt
dt
dt
dt 2
dy
dx

XX

d2y
dyd 2 y
dy d 2 y
dy
+
+
+
+
=
+ + cy
+=b0
+ cy = 0
b
a
cy
b
a
0
2
2
2
dx
dx dx
dx dx
dx
2
dx
dx
ddx
x
d2x
d2x
dt
dt
dtdt2
dt 2
dt 2
2
2
2
d y
d y
dy
d y
dy
dy
2
2
2
dx
dx
dxdx
dx
dx
2
dI
ddI2 I
I
VdI

Vd
V = IR V = IR
VV== IR V =
VV == 2 V = 2
dt
dt
dt
dt
dt

a+

V
I

V=

d 2I
dt 2

aybycy

16.

f ( x)dx

f ( x)dx

X Y
X = X
f ( x)dx (integration) f(x) X X
j

X j = X j X j 1

Yf(x)2x3

X j = X j X j 1

f
x
df

dx

j 1

(2 x + 3)dx = ( x
0

2
( x28
3x) = (16 + 12) (0) = 28
+ 3)dx(0)
==
+
(2+x12)
(2 x + 3)dx = ( x + 3x) = (16
0
f
2

+ 3x) = (16 + 12) (0) = 28


0

x
f
df f dx f dy f dz
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x
= + +
(02)2705-5066
dt x at y at z at
df
f
dx
f
dy
f
dz

f dy f dz
= + +

()/2
(311)4/2
28

1-1
17. X (Delta) X X
f ( x)dxtXtXt1X N

X j = X j f (Xx)j dx

X(50,51,51,50,48,53,54,52)
X(.,1,0,-1,-2,5,1,-2)
1
ff (( xx))dx

dx f ( x)dx
f ( x)dx
4
4

( auto-regression
X j = XX
X=
j X
= jX1 j X j 1
j =
j
(2
x j+=3)
dx
( xXj21+
3xX) j 1 = (16 + 12) (0) = 28
j X
X j = X j X j
X
X
X
X
X
=

f
(
x
)
dx

1
j
j
j

1
j
4
( x)dx
0
f
4
ARIMA
(VAR)
4
0
4 )
4
4 4
4
4
2
4dx
24
4 = (16 + 12)
2
X
X
X

(2
x
3)
(
x
3
x
)
(0)
28
+
=
+

=
(2
x
3)
dx
(
x
3
x
)
(16
+
=
+
=
+ 12) (0) = 28
2 j
2
j
j3)
=
12dx

(2
x
(
x
3
x
)
(16
12)
(0)
28
+
=
+
=
+

=
X
X
X

f (2x(0)
0 j=
1=(16
x0 (2+x3+x)3)
28 +012)
28= ( x + 3x) = (16 +
= (j x+ 12)
+ 3j x)(0)
+ 3)=dx
0 0dx= (16
0 12) (0) = 28

0 (2 x + 3)dx = (VECM

0
04
0
4
4
0
x0 4
f(2 x + 3)
(xx+2 3)
x)= (=x 2(16
28
=differential)f
+ 3dx
+x12)
(0)+=f 12)
fdx (2
3
+
18. f (partial
f
0
df) 0f =(16
f dx f(0) =dy28 f dz t
0x
= x + +
x 0
x
fx
dtx x at y at z at
df
f
dx
f
dy
f
dz

dx f dy f dz
f dz
f f dy
f dz df dxf
z)xx(t)yy(t)zz(t)
df f dx
f ff(x,
= dy
dy
df
dz
f dfy,dx
f dx
f dy
f dz
+
+
=f +
+ +
z
+dfdf = f =
= + dtx = x + at
+

+
+y at z at

y
at
at
x

dt
x
at

dt
x
at
y
at
z
at
dty at
dt x at df
x atz at
y at fz dz
atdtdt x at y at z at
df + ff dy
dx + f dy
f dz
df = f df dx
=

+ dxdff dy f dz
df
df
fdf

dt
x
at
y
at
z
at

dt
x
at
y
at
at
z +dt
+
dt
dt
dt
dt
dt dt y dt z dt

x
df
f dx f df
f dx
dy f f dy
dz f dz
f dx 2 f dy f dz
f dx f dy
fdxdz+ f dy
+ f dz
dtf
f dx
f dy+ f dz+

+
+x dt +x dt
y dtdt ++yz dtdt + z dt f ( x1 ,x2 ) =+x x1 dtx2 +y dt z dt
x dt y dtfx zdx
x dt y dt z dt
dtdt fy dy
dt 2 fz dz
dt
f dy
f fdz( x , x ) f ( x , x ) =2 xf x=2 x 2
2
f 2( x1 , x2 )f+(=xxf,1 x x)dx
+
2= +

x
x
x2
+
2 x z
1 dt 2
f ( x1 , x2 ) = x1 xf2x( x1 ,dt
=1xx112
x2 ) =1xy1
f (1x ,2x )
x2 1x 2 2
2
x dt dt
fy dt 2 z dt 1 2
1

f
2
ff (( xx1 ,, xxf2 ))f (=xx2, x x) 2 f = x22f = x 2
f
f ( x1 , x2 )
x22x f (fx2( x, 1x, x)2f)( x1 , x2 ) f ==2 xx22xx = x2
f ( x11 , x22 )= xf12(1 x12, x2 2 ) =xx11 =

1
2
1 21
1
x1
xf1
x2x1
2

f
2
=x
f (x , x )
f
f ( x11 , xf22 )f ( xf ,( xx1 ,) x2 ) xf = 22x1 fx2 = 2=x xx2 f ( x1 , x2 )
f
= 2 x1 x2
f ( x1 , x2 )
= 2xx1 x2
f ( x1 , x2 ) =21 xx12x2
x12 = 2 x1xx2x1 f ( 1x1 ,2 x2x)1
2
2
2
x2
xf2
x2
= 2 x1 x2f = 2 x x
f ( x1 , x2 ) f ( x , x )
1
2 x
1 2
2
x2

f ( x)dx

10

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(02)2705-5066

Chapter 1

1.1.2
( M S)
( m s)
a, b, c (constant) (coefficient)f, g, h i, j, k
x, y, z X, Y, Z

1-2

A ()

a ( Alpha
)

N ()

()

Nu

B ()

b ( Beta
)

()

()

Xi

()

()

Gamma

O (
)

Omicron

( ()
)

Delta

( ()
)

Pi

E ()

()

Epsilon

Pho

Z ()

()

Zeta

( s ()
)

()

Eta

T ()

()

()

Theta

Y ( ()
)

Upsilon

I ()

Iota

()

Phi

K ()

( Kappa
)

r ()

Sigma

( Tau
)

()

X ( ()
)

Chi

( or ()
M A N O VA
)

Lambda ()

()

Psi

M ()

Mu

Omega

m ()

()

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(02)2705-5066

11

(Eigen value) (Eigen vector)

()/ (coefficient matrix)


(mn) (coefficient)

1.1.3
(measures of central location)

()
1. (Per Capital GNP)
()

(Per Capital NI)

GNP NI ()

2. (Personal Income, PI)

(NI)

12

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(02)2705-5066

Chapter 1

PINI[]

http://www.dgbas.gov.tw/mp.asp?mp=1
()
(Gross Domestic Product)

GDP GDP
GDP

GDP
GDP

GDPA N
A/N
g r

A (1 + g ) A 1 + g
A (1 + g ) A 1 + g
=
=
N (1 + r )
N 1+ r
N (1 + r )
N 1+ r
1+ g
1+ g
1
1 g
A/N

1+ r
1+ r
1 + 10%
1 + 10%
n
A (1 + g)1 = 0.048
A 1+ g
1 = 0.048
=
1 + 5%
1 + 5%
N (1 + r )
N 1+ r

10% 5%
X
Xi
1X+=g i
=
X

1
N
1+ r N

=
(X
)
0
X
i
1+ 10%
(Xi X ) = 0
1 =2 0.048 210%5%0.05
1 +(5%
Xi X ) ( Xi C)

( X i X )2 ( X i C )2
nX i
n
X =n

IMF ()

X=
X = n Xi
N Xi
i =1
i =1
http://www.imf.org/external/pubind.htm
X) =0
(X2i ab
2ab
H=
H=
( Xai + bX )2 ( X i C )2
a+b
2V1 V2
2
2V
2S
2
n 2S
= n
=
=
=
=
=
X (=S / V
X(i S / V ) (1 / V ) + (1 / V ) (V + V )

+
)
( S / V1 ) + ( S / V2 ) (1 / V1 ) + (1 / V2 ) (V1
1
2
1
2
1
2
i =1
2
30
2
30
2ab =
= 7.5
=
= 7.5
H/ 5= + 1 / 15 4
13
1
1 / 5 + 1 / 15 4
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a+b
(02)2705-5066
2V V
2S
2
=
=
= 1 2

A (1 + g ) A 1 + g
=
N (1 + r )
N 1+ r
()

A (1
+ g) A 1+ g
1+ g
=
1
+ r)
N1.(1
N (arithmetic
1+ r
mean, M)
1+ r
1 + g (arithmetic mean, arithmetic average)
1 + 10%
1
1 = 0.048
1+ r
+
1
5%

1 + 10%
Xi
1 = 0.048

X=
1 + 5%
N
A (1 +Ag) (1 +Ag ) 1 +Ag 1 + g
=

X
=

i
(Xi X ) = 0
X=
N (1 + rN
) (1 +Nr ) 1 +Nr 1 + r
N
1+ g 1+ g
( X i X )2 ( X i C

=
(X
)
0
X
7883743343
i
+ r 1+ r
1
n
2
2
X = n Xi

(
)
(
)
X
X
X
C
1 + 10%1 + 10%
(7883743343)105
i
i
1 = 0.048
1 = 0.048
i =1
n
1 + 5% 1 + 5%

2
ab
X = n Xi
H=
XX=i X i
i =1(1 + g )
A
A 1+ g
a+b
=
X
=
2.
N
N
2Nab(1 + r )
2S
N 1+ r
H=
=
=
(X
X) =0

=
(X
)
0
X
(1)

i
+
a
b
( S / V1 ) + ( S / V2 ) (1 / V
1+ g
S 1
2
2V V
2
X )(2Xi
X( X
C()X2 i C ) 2
) 2i
+ r2
30
= 1(2)
=
= 1 2( X i
=
= 7.5
( S 1/ V
) + ( S / V2 ) (1 / V1 ) + (1 / V2 ) (V1 + V2 )
+110%
n
+
1
/
5
1
/
15
4
n
C
1 = 0.048
X =X ni X i
X =n
21 + 5% 30
=
= 7.5
i =1
(3)
i =1
1 / 5 +A1/ 15
(1
+ gX)4i A 1 + g
=

2
ab
2
ab
X=
3.
H= H=
N (1 + N
r)
N 1+ r
a+b a+b

n n
1+ (X
g i X) =0
2S
2 2V1 V22V1 V2
2S
2
1
=
=
=
=
=
=
1+ r

(1(1
/ V/1V) 2+) (1 /(V12 )+ V2()V1 + V2 )
V2/ )V1 ) +
( S / V1 )(+S (/SV1/)V+2 )( S /(1
( X i X )2 ( X i C )2

1 + 10%
2 30
30
2
n 1 = 0.048
=7.5 = 7.5
+
1
5%
=
=
n
X = Xi
5 + 1 /415 4
1 / 5 + 11/ /15
i =X
1

i
X=
2ab

H= N
(Xai + bX ) = 0

2V V
2S
2
= ( X i X )2 ( =
= 1 2
X i C )2

( S / V1 ) + ( S / V2 ) (1 / V1 ) + (1 / V2 ) (V1 + V2 )
4.
(harmonic mean)
n
30
X = n2 X =
= 7.5
i

1 / 5 + 1i/=115 4 abH
2ab
H=
a+b
2V1 V2
2S
2
=
= V1= V2

()
+
( S / V1 ) + ( S / V2 ) (1 / V
)
(1
/
)
(
V
V1 + V2 )
1
2

2
30
=
= 7.5
1 / 5 + 1 / 15 4
14

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(02)2705-5066

1+ r
A (1 + g ) 1 +A10%
1+ g
= 1 = 0.048
N (1 + r ) 1N+ 5%
1+ r
X
1+ g
1 X = i
Chapter 1
1+ r
N
1 + 10%
(X i X ) = 0
1 =0.048
1 + 5%
( X X )2 ( X i C )2
Xi i

X=
n
N S

X = n X i V1 V2
0 i=1 S/V

(Xi XT)1=S/V1T
2
2
2ab
2
2
=2((S/V
X i C1))(S/V2)
T
( X i X )H1T
a+b
n
2V V
2S
2
X = n X
v i=

=
= 1 2
( S / V1 ) + ( S / V2 ) (1 / V1 ) + (1 / V2 ) (V1 + V2 )
i =1
2ab
2
30
H=
=
= 7.5
a + b 1 / 5 + 1 / 15 4
1-1 5 15
2V V
2S
2
=
=
= 1 2

( S / V1 ) + ( S / V2 ) (1 / V1 ) + (1 / V2 ) (V1 + V2 )

2
30
=
= 7.5
1 / 5 + 1 / 15 4

() (weighted mean, weighted average)

30
30 1897 100
30 1897

()

(
)

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(02)2705-5066

15

1.

(
)
3 2

X =

w X
w
i

X Md
2.

TAIEX

16

MSCI Taiwan

1. Morgan Stanley Capital International Inc. (MSCI)

77
2. 67%

KOSPI
()

1. KOSPI 200

2. 93%

DJ Euro stock 50 Index

50
1991 12 31 ( 1000)

Nikkei 225 Index


( 225 )

225

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(02)2705-5066

Chapter 1

S & P 500 Index

500

NASDAQ 100 Index


( 100 )

NASDAQ

D o w J o n e s I n d u s t r i a l 1. 30
Average ()
2. NYSE () 15~20%
NASDAQ Composite Index 5400 NASDAQ
()

() (median, Md)

M
wi XdP50
i
X=
w

X M d

Eviews (Quantile regression)

()
()
(Eview )

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(02)2705-5066

17

1-2Suppose we add an additional observation to a data set and that this


observation is larger than all the previous observations.
True of false: The new observation always causes the median to increase.
True of false: The new observation sometimes causes the median to increase.
True of false: The new observation always causes the mean to increase.
a. Falsethe median could remain constant. b. True c. True
1233356 78 3

() (mode, Mo)

1.
M03Md2M
2.

2
(sorted)

() (trimmed average, truncated average)

5%

()
YaXb X Y
a b

18

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(02)2705-5066

Chapter 1

1. (Percentile)
(1) 1%2%99% 1
299 k k%

(2) k%
(100k)%
k Pr k

(PR ) (
)
80 PR 95
95% PR 95 78
95 78
N n

100

n P30 30%
Ly = (
N + 1)
n
100

Pn n
100
75
Ly = (11 + 1)
n
100
P50 Ly = ( N + 1)

100
n
| X X |
75
AD =
=
+
L
(11
1)
y
N
100
100
1-3Find out given the following observations:
8%, 10%, 12%, 13%, 15%,
n
X X =0
|X X|
Ly = ( N + 1)

17%, 17%,
18%, 19%,
23%,
24%
=
AD
100
N
N
75
( X i m) 2
Ly = (11 + 1)
9
2
X X P7519%

=
s
100
=0
n
N

X
X
|
|

n
( X i X )2 =
AD =
2
( X i m) 2

2
=

s
N
s =
n 1
n
n
X X =0
2
2
2
(Xi X )
(Xi X )
SSSSX X = ( X i X ) = X
n

2
N

=
=
s =
19
www.wunan.com.tw
11= m1 = L = mk
n 1
n
n 1
nm
2

X
m
(
)
i
2
(02)2705-5066
s2 =
SS X = ( X i X ) 2 = X i 2 X
n

2. (quartiles)
(1) Q1
(2) Q3
(3) IQRQ3Q1
Qi
3. (quintiles)20%40%60%80%100%
4. (deciles)

()

5% vs. 5% 90%
80%
() (range)
MAX-MIN
1-4What is the range for the 10-year annualized total returns for five
investment managers if the managers individual return were 30%, 12%, 28%,
25% and 21%
18%

20

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(02)2705-5066

nn
100
100

Chapter 1

nn
L
= (( N
+ 1)
Lyy =
N+
1) 100
100
75
75
+
L
()
= (11
+ 1)
Lyy =
(11(MAD,
1) 100mean absolute deviation AD, average deviation)
100
n
X
|

1. 100
| X XX ||
AD
=
AD =
Nn
Ly = ( N + 1)N
XX XX = 100
2.
= 0075
N(11 + 1)
Ly =N
2

(( XX ii 100
2
m
m)) 2
2 =
s
s =
| Xn X |
()
(variance)
n
AD =
2
2
N
(( X
(( X
nn(variance)
1.

X
X
X ii
X )) 2 =
X ii
X )) 2 = SS
SS X

ss 22 =
=XnX1
=
= n X1

n
n
1

n 1 = 0 n
n 1
n 1
2
2
2
N
2
SS
X
X
(( X
=
X
=

SS XX =
X ii
X2)) 2 =
X ii 2
X

X
m
(
)

i
2

=
=
=
m
m
L
m
s
mn11 == m11 = L = mkk
n n
100
n
n( X i X )2 = ( X i X )2 = SS X
100
2
=
(covariance)
s(1)
Ly = n( N 1+ 1)
nn
n 1
n 1
+ 1)
Ly = ( N100

2
2
2
X )100
= Xi X
SS X = ( X i75

(variance)
75
=
+
L(2)
(11
1)
y
(11
=+m1)
m1 = mL1y ==L
100
k
100

X
X
|
|

AD =
| X X |
AD =N(sample variance)
2.
N

X
X

X=0X = 0
N

N
( X i m) 2
2

2
s = 2 ( X i m)

s =n
n
( X i X ) 2 2 ( X i X ) 2 SS2 X
n

2
( X i =X )
SS X
s = 2 n
( X i =X ) =n
n
1
ns 1=
n 1=

1
n 1
n
n
n
1
2
2
SS X = ( X i X ) 2 = 2 X i 2 2 X
SS X = ( X i X ) = X i X
m1 = m1 = L = mk
m1 = m1 = L = mk
3. (Analysis of Variance, ANOVA)
ANOVA t-test
z-test

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21

X X
N

s2 =


s2 =

=0

(X

m) 2

n
( X i X )2 =

n 1
n

(X

X )2

n 1

SS X = ( X i X ) = X i X
2

SS X
n 1

ANOVA H0 m1 = m1 = L = mk

(
) H0 t-test
H1

t-test (
independent subsmaple)
t-test
Type I t-test
a0.05 t-tests Type I
error t-test a0.05
Type I error 0.05t-test
t-test (reject) H0 H0 ANOVA

(1) ANOVA ANOVA


1 1
n n

1 n n
n

(2)
F (assumption)

F [ Ln( )
] ANOVA
(3)
F

22

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Chapter 1

3 2

4. (ANOVA) vs. (MANOVA)


1-3 t F F
t-test
( ANOVA )

(ANOVA)

(MANOVA)

(centroid)

() (

1. 1.

2. ()

(ABC) 2.

5. MANOVA
(1)
()
(2)

()
1. ~

s=
s=

(X

m) 2

(X

m) 2

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n 1
(02)2705-5066
Q Q
Q=

23

5 5
52
2.
( X i m) 2

s=
N

s=

(X

m) 2

n 1
Q Q1
Q= 3
2
31-5(AIMR Sample
1 2004-21) Which of the following statements about
N
N
standard
deviation is most
4
4 accurate? Standard deviation: A. is the square of the

Var (aXB.+ bcan


) = be
a 2Var
(X )
variance.
a positive
number or a negative number. C. is denominated
2
aX + units
Y ) = aasVar
) + Var (data.
Y ) + Cov
( Xthe
, Y ) arithmetic mean of the squared
in Var
the (same
the( Xoriginal
D. is
iid

deviations
from the mean.
ut ~
2
( X
(m
(X
)i 2i mm
X
) 2)

i
( X m )3 1
s (C)
= ss==

skewness
3
N = NN
s
N22
( X ii2 m)2 2

(
X

m
(
X
)

m
)
s= i ( X i m)
s = s s== iN
n 1 n(quartile
n1 1 range)
()
(Q
XQii m) 22
Qs 3= Q
Q

Q = QQ== 13 3 1 1 Q3Q1 (inter-quartile range)Q3


2 2 2n 1
3 3 3 Q33 Q11
1 11
N Q
N
N 50%
=N
Q
N
1 N
4 44
4 44
2
3Var
Var (aX
(baX
) =++ab2)bVar
)==a(a2Var
X2Var
) 1( X
(NX) )
Var
N+(aX
()
2
4
2 2 4
Var (aX
Var
+(aX
Y
(aX
) =++Y
aY)Var
)==a(aVar
XVar
) +( Var
( X) +
)(Y
+Var
Var
) +(Cov
)(+Cov
XCov
, Y()X
( X, Y, Y) )
Var
X
Y(Y) +
2
2
1.
Var
(
aX
+
b
)
=
a
Var
(
X
)
iid
iidiid
ut ~ utu~t ~
Var
(aX + Y ) = a 22Var ( X ) + Var (Y ) + Cov( X , Y )
2.
3 3
( X
(mX
()X3mm
iid
1) ) 1 1
iid

12345X3
skewness
skewness
=
=

uskewness
tt ~
N NN s 3 ss3 3

( X m)33 1 4 48121620X43
skewness =
33
4X34
s
N
4 416

24

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.
.
.
, 2012. 05
.,2008.08

.
ISBN978-957-11-5229-5()
ISBN 978-957-11-6510-3
1.1.2.3.
2.
489.67
550.19

97009174
100025533

1MCH
1H76

275






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