本文選題：面板數(shù)據(jù) + 因子模型�。� 參考：《浙江工商大學(xué)》2014年碩士論文

【摘要】：因子模型由于能夠簡(jiǎn)化高維數(shù)據(jù)的分析過(guò)程,從而廣泛的應(yīng)用于經(jīng)濟(jì)、金融、生態(tài)、醫(yī)藥等領(lǐng)域。而準(zhǔn)確的選擇因子個(gè)數(shù)始終是因子模型應(yīng)用上的核心問(wèn)題。近些年來(lái),大量關(guān)于因子個(gè)數(shù)確定的文獻(xiàn)頻繁見(jiàn)諸統(tǒng)計(jì)、計(jì)量等學(xué)術(shù)期刊,本文通過(guò)Monte Carlo比較研究三種經(jīng)典的面板因子個(gè)數(shù)選擇準(zhǔn)則的有限樣本性質(zhì),并基于其中兩種鄰近特征值比形式的準(zhǔn)則,構(gòu)造了兩種新的因子個(gè)數(shù)選擇準(zhǔn)則,Monte Carlo模擬表明,新的準(zhǔn)則在部分弱因子情形下有更好的穩(wěn)健性和適應(yīng)性�？紤]到以上準(zhǔn)則假定因子個(gè)數(shù)不隨著樣本量的改變而變化,因此本文發(fā)展了上述的信息準(zhǔn)則以適應(yīng)可變因子數(shù)目下的數(shù)據(jù)情形。最后,以滬深300指數(shù)成分股中的226支連續(xù)交易288天的股票日收益率序列構(gòu)建平衡面板數(shù)據(jù)集,使用不同因子個(gè)數(shù)選擇方法,得出存在兩個(gè)因子的結(jié)論,并發(fā)現(xiàn)滬深300指數(shù)收益序列和因子高度相關(guān),進(jìn)一步地以本文發(fā)展的適用于可變因子數(shù)目的準(zhǔn)則研究發(fā)現(xiàn),所考察區(qū)間內(nèi)的樣本數(shù)據(jù)始終由兩個(gè)因子驅(qū)動(dòng),不存在經(jīng)濟(jì)結(jié)構(gòu)變動(dòng)。
[Abstract]:Because the factor model can simplify the analysis process of high dimensional data, it is widely used in the fields of economy, finance, ecology, medicine and so on. Accurate selection of the number of factors is always the core problem in the application of the factor model. In recent years, a large number of literatures on factor number determination have been published frequently in academic journals, such as statistics and econometrics. Through Monte Carlo, this paper compares the finite sample properties of three classical criteria for selecting the number of panel factors. Based on two adjacent eigenvalue ratio criteria, two new factor selection criteria are constructed. The results show that the new criterion has better robustness and adaptability in the case of partial weak factors. Considering that the above criterion assumes that the number of factors does not change with the change of sample size, the above information criterion is developed to adapt to the data situation under the variable number of factors. Finally, the data set of balance panel is constructed by the daily yield sequence of 226 stocks traded in Shanghai and Shenzhen 300 index for 288 days, and the conclusion that there are two factors is obtained by using the method of selecting different number of factors. It is also found that the return sequence of CSI 300 index is highly correlated with factors. Further, based on the criteria developed in this paper for the number of variable factors, it is found that the sample data in the investigated interval are always driven by two factors. There is no change in economic structure.
【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

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