本文選題：面板數據 + 因子模型�。� 參考：《浙江工商大學》2014年碩士論文

【摘要】：因子模型由于能夠簡化高維數據的分析過程,從而廣泛的應用于經濟、金融、生態(tài)、醫(yī)藥等領域。而準確的選擇因子個數始終是因子模型應用上的核心問題。近些年來,大量關于因子個數確定的文獻頻繁見諸統(tǒng)計、計量等學術期刊,本文通過Monte Carlo比較研究三種經典的面板因子個數選擇準則的有限樣本性質,并基于其中兩種鄰近特征值比形式的準則,構造了兩種新的因子個數選擇準則,Monte Carlo模擬表明,新的準則在部分弱因子情形下有更好的穩(wěn)健性和適應性�？紤]到以上準則假定因子個數不隨著樣本量的改變而變化,因此本文發(fā)展了上述的信息準則以適應可變因子數目下的數據情形。最后,以滬深300指數成分股中的226支連續(xù)交易288天的股票日收益率序列構建平衡面板數據集,使用不同因子個數選擇方法,得出存在兩個因子的結論,并發(fā)現滬深300指數收益序列和因子高度相關,進一步地以本文發(fā)展的適用于可變因子數目的準則研究發(fā)現,所考察區(qū)間內的樣本數據始終由兩個因子驅動,不存在經濟結構變動。
[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.
【學位授予單位】：浙江工商大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F224

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