Có gì mới hôm nay?

Phương pháp ước lượng

• Kernel regularized least squares (KRLS): proposed by (Hainmueller and Hazlett, 2014) - link

Kiểm định tính dừng

Kiểm định đồng liên kết

• Engle–Granger (EG), Johansen (JOH), Boswijk (BO), and Banerjee–Dolado–Mestre (BDM)

• Bayer-Hanck Cointegration test

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Kiểm định nhân quả

• Toda and Yamamoto causation test provided by the Toda and Yamamoto (1995) could be used if the time series variables are integrated of order zero, one, or two, in contrast to the Granger causality test established by Granger (1969). Besides, even if the time variables are not co-integrated, the Toda and Yamamoto (1995) causality test could be used. 

 Mô hình GARCH

• the DCC, ADCC and GO-GARCH models proposed by Engle (2002), Cappiello et al. (2006) and van der Weide (2002) respectively.