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Analysis of number of teacher in Taiwan¡¦s Primary School¡Ð A coinergration Approach ABSTRACT This research uses the fractional cointegration model to examine the relations between the number of elementary-school teachers, students, and classes etc. We collected fifty-one annual data from the 39th academic year (1950) to the 90th academic year (2001). We use the unit root test, the Maximum Likelihood Model. of Johansen (1988,1991) and ARFIMA. The major findings of this research are as follow: (1) the three sequences¡Xthe number of elementary school students, teachers and classes¡Xare all nonstationary. (2) The two relationship models¡Xthe number of teachers and students, the number of teachers and classes¡Xdo not satisfy the integral cointegration. (3) the relationship between the number of teachers and students satisfy the fractional cointegration. The finite difference of the equilibrium-errored ARFIMA Model, d=0.47; the relationship between the number of teachers and classes satisfy fractional cointegration and the finite difference of the equilibrium-errored ARFIMA Model, d=0.39, i.e., if the residuals satisfy mean reverting after doing linear combination to any one of the two sequences above, we can come to the conclusion that the impacts do not have eternal influences to the system and thus will finally disappear

Chan Chi-Ho. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 68-69). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Integration and Fractional Integration --- p.1 / Chapter 1.2 --- Classical and Fractional Cointegration --- p.3 / Chapter 1.3 --- Residual-Based Test for Cointegration --- p.6 / Chapter 1.4 --- The Fractional Dickey-Fuller Test --- p.9 / Chapter 2 --- Preliminary Limit Theorems --- p.12 / Chapter 2.1 --- Limit Theorem for 0 ≤d < 0.5 --- p.14 / Chapter 2.2 --- Limit Theorem for 0.5 < d ≤1 --- p.23 / Chapter 3 --- The Asymptotics of the Residual-Based FDF --- p.26 / Chapter 3.1 --- Asymptotics for OLS-FDF --- p.30 / Chapter 3.2 --- Asymptotics for CO-FDF --- p.36 / Chapter 4 --- Finite Sample Experiment --- p.41 / Chapter 4.1 --- Empirical Size --- p.43 / Chapter 4.2 --- Empirical Power with Known d1 --- p.48 / Chapter 4.3 --- Empirical Power with Estimated d1 --- p.55 / Chapter 4.4 --- The Augmented Fractional Dickey-Fuller --- p.60 / Chapter 5 --- Conclusions --- p.66 / Reference --- p.68

This paper uses a two-regime vector error-correction with a single cointegrating vector and a threshold in the error-correction term introduced by Hansen and Seo(2002). We propose a SupLM test for the presence of a threshold. We derive the asymptotic distribution and show how to simulate asymptotic critical region. Applying our methods to the 90-days and 180-days Commercial Paper rate, we find that there are an apparent threshold effect and inconsistent behaviors in the long-run equilibrium process.

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Traditional cointegration analysis asserts that the observed series are unit root processes, but a linear combination among these series is a short-memory stationary process. By allowing deviations from equilibrium to follow a fractionally integrated process, fractional cointegration analysis captures a wider range of mean-reverting behavior than traditional cointegration. Under the assumption that the integration orders of the underlying series are equal, based on the memory estimates from observed series and the regression residual, we propose a residual-based test for the null hypothesis of no fractional cointegration against the alternative of fractional cointegration. Under some regular conditions, the test statistic has an asymptotic standard normal distribution under the null and diverges under the alternative. The test is easy to implement and performs well in Monte Carlo experiments. A necessary condition for fractional cointegration is that the integrated orders of underlying series are equal. We present a procedure to test for the equality of integration orders of the underlying series. / Wang, Bin. / Adviser: Ngai Hang Chan. / Source: Dissertation Abstracts International, Volume: 70-06, Section: B, page: 3589. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 50-54). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.

With the process of financial globalization, many thousands of stock traders and stock brokers endeavor to seek the best portfolio diversification. Ever since the emergence of stock exchanges, whether international stock/equity markets are correlated or not generates more and more attention by investors. Based upon the augmented Dickey- Fuller (ADF) test and the error correction model (ECM), this paper tests the cointegration of three of the biggest stock exchanges in the world. Two periods, 1991-2000 and 2001-2010 are studied. The main finding is that there is no cointegration in the long run period among the tested markets, but in short run Dow Jone Industiral Average (DJIA) will affect Deutscher Aktien- Indice (DAX) and Nikkei Heikin Kabuka, 225 (NIKKEI 225).