Unit Root, Cointegration, Granger-Causality, Threshold Regression and Other Econometric Modeling with Economics and Financial Data
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Unit Root, Cointegration, Granger-Causality, Threshold Regression and Other Econometric Modeling with Economics and Financial Data

單根,共積,格蘭傑爾因果,門檻迴歸及其他計量經濟模式

Chin-Wei Yang, 楊慶偉, 黃柏農

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eBook - ePub

Unit Root, Cointegration, Granger-Causality, Threshold Regression and Other Econometric Modeling with Economics and Financial Data

單根,共積,格蘭傑爾因果,門檻迴歸及其他計量經濟模式

Chin-Wei Yang, 楊慶偉, 黃柏農

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About This Book

Both deductive and inductive methods in scientific research have undergone significant changes since the beginning of the 20th century as sciences advance rapidly.Deductive method reached its pinnacle when Russel's paradox became popular in the field of mathematical logics. The famous barber's paradox illustrates the inevitable logical dilemma: the only barber in an isolated village does the following: (1) he cuts hair for those who do not cut their own and (2) does not cut hair for those who cut their own. Suppose 90 members in the village do not cut their hair (so barber cuts their hair) and 9 cut their own hair (thus barber does not cut their hair). The question is who cuts the barber's hair? The intrinsic contradiction arrives in either way. If barber cuts his own hair, then it contradicts the condition the barber cuts hair for those who do not cut their own hair: the barber cuts his own hair if he (the barber) does not cut his hair. On the other hand, if the barber does not cut his hair, then he (the barber) will cut his own hair, another contradiction.In either case, we seem to arrive at an inescapable contradiction: such a barber cannot possibly exist in the logical world.

Godel took a step further to show contradictions are intrinsically inevitable in his famous Incomplete Theorems.Let us start it by trying to prove the statement that "ghost exists" via valid arithmetic rules and true axioms. Suppose at halfway, we arrive at "that ghost does not exist is provable (which is quite acceptable to some of us)" with all correct logical steps and well-known and time-tested axioms.Assuming for one moment we reject the hypothesis that ghost exists and hence conclude ghost does not exists. The conclusion that "ghost does not exist "can clearly be translated into "that ghost does not exist is provable". However given the hypothesis is false, its proposition logically derived halfway (that ghost does not exist is provable) cannot be true because all the arithmetic rules and axioms are valid. As a result we reject the proposition derived halfway that "ghost does not exist is provable "so that we have "ghost does not exist is not provable or ghost exist is provable" because in a complete system we have only two possible outcomes: either ghost exists or does not exist or it is provable or not provable. In a nutshell, we have arrived at both that "ghost does not exist is provable" and "ghost exists is provable". Reader can find out when the hypothesis is supported, we have two contradictory propositions as well: that "ghost exists is provable" and that "ghost does not exist is provable". There is an intrinsic dilemma between consistency and completeness in the formal deductive logic.

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Information

Publisher
EHGBooks
Year
2018
ISBN
9781647848583
Subtopic
Calcolo
Edition
1
Unit Root, Cointegration, Granger-Causality, Threshold Regression and Other Econometric Modeling
with Economics and Finance Data
Bwo-Nung Huang and Chin-Wei Yang
Logo EHGBooks.webp
EHG Books Micro-Publishing Company, Inc. USA
Visit Amazon.com for ordering
Registered for US Copyright © 2018
No part or any of the book may be reproduced or
translated into other languages without permission
First edition: 2018 by EHG Books
Copyright © 2018 by Bwo-Nung Huang and Chin-Wei Yang
Manufactured in United States
Permission required for reproduction,
or translation in whole or part.
ISBN-13:978-1-62503-467-0
Table of Contents
Preface

I. The Granger Causality Models in Mean and Variance

1. A Bivariate Causality Between Stock Prices and Exchange
Rates: Evidence from Recent Asian Flu
C.W.J. Granger, Bwo-Nung Huang and Chin-Wei Yang
2. An Analysis of Factors Affecting Price Volatility of the US Oil
Market
Chin-Wei Yang, Ming J. Hwang and Bwo-Nung Huang

3. Causality and Cointegration of Stock Markets among the US,
Japan and South China Growth Triangle
Bwo-Nung Huang, Chin-Wei Yang and J.W. Hu

4. Long-run Purchasing Power Parity Revisited : A Monte Carlo
Simulation
Bwo-Nung Huang and Chin-Wei Yang
5. Oil Price Movements and Stock Market Revisited: A Case of
Sector Stock Price Indexes in the G-7 Countries
B.J.Lee , Chin-Wei Yang and Bwo-Nung Huang
6. Volatility of Changes in G-5 Exchange Rates and Its Market
Transmission Mechanism
Bwo-Nung Huang and Chin-Wei Yang

7. Stock Market Integration —An Application of the Stochastic
Permanent Breaks Model
Bwo-Nung Huang and Robert C.W. Fok
8. State Dependent Correlation and Lead-Lag Relation when Volatility of Markets is Large: Evidence from the US and Asian Emerging Markets
Bwo-Nung Huang, Soong-Nark Sohng and Chin-Wei Yang

9. Oil Price Volatility
Ming J. Hwang, Chin-Wei Yang , Bwo-Nung Huang and H. Ohta
II. Granger Causality Models Using Panel Data

1. Causal Relationship between Energy Consumption and GDP
Growth Revisited: A Dynamic Panel Data Approach
Bwo-Nung Huang, Ming J. Hwang and Chin-Wei Yang

2. Military Expenditure and Economic Growth across Different
Groups: A Dynamic Panel Granger-Causality Approach
H. C. Chang, Bwo-Nung Huang and Chin-Wei Yang

3. New Evidence on Demand for Cigarette: A Panel Data Approach
Bwo-Nung Huang, Chin-Wei Yang and Ming J. Hwang

III. Granger Causality Models with Thresholds

1. Demand for Cigarette Revisited: An Application of the Threshold
Regression Model
Bwo-Nung Huang and Chin-Wei Yang

2. Does More Energy Consumption Bolster Economic Growth?
An Application of Nonlinear Threshold Model
Bwo-Nung Huang, Ming J. Hwang and Chin-Wei Yang
3. The Dynamics of a Nonlinear Relationship between Crude Oil Spot and Futures Prices: A Multivariate Threshold Regression Approach
Bwo-Nung Huang, Ming J. Hwang and Chin-Wei Yang
4. On the Relationship between Military Expenditure, Threat and
Economic Growth: A Nonlinear Approach
A.J. Yang, William N. Trumbull, Chin-Wei Yang and Bwo-Nung Huang

5. Factors Affecting an Economy‘s Tolerance and Delay of
Response to the Impact of a Positive Oil Price Shock
Bwo-Nung Huang

6. Defense Spending and Economic Growth across the Taiwan
Strait: A Threshold Regression Model
Chung-Nang Lai, Bwo-Nung Huang and Chin-Wei Yang
7. Tourism Development and Economic Growth: A Nonlinear
Approach
Wan-Chen Po and Bwo-Nung Huang

IV. Indirect Granger Causality, Random Walk, Long-term Memory, Volatility of Stock Market and Other Econometric Models
  1. Industrial Output and Stock Price Revisited: An Application of
the Multivariate Indirect Causality Model
Bwo-Nung Huang and Chin-Wei Yang
Bwo-Nung Huang and Chin-Wei Yang
the New York Stock Exchange Using Five-Minute Data
Bwo-Nung Huang and Chin-Wei Yang
Bwo-Nung Huang
5. The Impact of Financial Liberalization on Stock Market
Volatility in Emerging Markets
Bwo-Nung Huang and Chin-Wei Yang
6. An Analysis of Exchange Rate Linkage Effect: An Application of the Multivariate Correlation Analysis
Bwo-Nung Huang and Chin-Wei Yang
7. An Empirical Investigation of Trading Volume and Return
Volatility of the Taiwan Stock Market
Bwo-Nung Huang and Chin-Wei Yang
8. The Impact of S...

Table of contents