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Lee
 

Lee, Chingnun ; Professor

Email:lee_econ@mail.nsysu.edu.tw

Tel:(07) 5252000 ext. 5618
 
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Ph.D. in Economics, Michigan State University, USA; 1988/09 ~ 1994/05

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Econometrics

Time Series Analysis

 
   
     Working papers  
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Journal Articles
 
1. Lixiong Yang, Chunli Zhang, Chingnun Lee and I- Po Chen (2021) , "Panel Kink Threshold Regression Model with a Covariate-Dependent Threshold ",  
    The Econometrics Journal. (SSCI/SCIE)  
2. Lixiong Yang, Chingnun Lee and I-Po Chen (2021) , "Threshold Model With a Time-varying Threshold Based on Fourier Approximation",  
   Journal of Time Series Analysis, vol.42, p406-430. (SCIE)  
3. Kuang-Liang Chang and Chingnun Lee (2020) , "The Asymmetric Spillover Effect of the Markov Switching Mechanism from the Futures Market to the Spot Market", 
   International Review of Economics  and Finance
,vol.69, p.374 - 388. (SSCI)
4. 【In Chinese】楊利雄、李慶男 (2018),"基於傅立葉變換的時變參數回歸模型:估計、設定檢驗和實證應用"。統計理論與方法,第33卷,第2期,p.10-16. ( CSSCI )。

5. Lixiong Yang, Chingnun Lee and Jen-Je Su (2017), "Behavior of the Standard Dickey-Fuller Test When There is a Fourier-Form Break Under the Null Hypothesis", Economics Letters, vol.159, p128-133.(SSCI)(PPT

6. Chingnun Lee, Jyh-Lin Wu and Lixiong Yang  (2016), "A Simple Panel Unit-Root Test with Smooth Breaks in the Presence of a Multifactor Error Structure ", Oxford Bulletin of Economics and Statistics, vol.78, issue 3, p.365-393.(SSCI)PPT)(Code

7. Ginny Ju-ann Yang, Chingnun Lee and Chen-Hsun Lee (2015), " Random Walk in the MIST ", Journal of Asia-Pacific Business, vol.16, issue 2, p.92-104.

8.【In Chinese】楊利雄、李慶男、張春麗 (2015), "基於傅立葉變換的含異質性結構突變的面板單位根檢驗"。統計研究.(CSSCI)。

9.【In Chinese】楊利雄、張春麗、李慶男 (2015), "含非線性的平穩過程之間的虛假迴歸問題研究"。統計與資訊論壇.(CSSCI)。

10. Lixiong Yang, Chingnun Lee and Fu Shuen Shie (2014), "How Close a Relationship Does a Capital Market Have With Other Markets? A Reexamination Based on the Equal Variance Test ", Pacific-Basin Finance Journal , vol.26, issue 1, p. 198-226. (SSCI)

11.【In Chinese】楊利雄、張春麗、李慶男 (2014),"平滑結構圖變下Dickey-Fuller檢驗的大樣本行為"。統計研究, 第三十卷,第十一期,p.103-108 (CSSCI)。

12.【In Chinese】楊利雄、李慶男 (2014), "協整模型的“協整度”:F-型等方差檢驗和其有限樣本表現"。統計與決策,第4期,p.27-30. (CSSCI) 。

13.【In Chinese】楊利雄、李慶男 (2014), "等均值檢驗:一個考慮橫截面相關的檢驗方法"。統計與決策. (CSSCI)。

14.【In Chinese】楊利雄、李慶男 (2013), "中國股市與國際股市的聯動關係的密切程度"。山西財經大學學報, 第35卷, 第三期,p.22-32. (CSSCI)。

15.【In Chinese】楊利雄、李慶男 (2013), "中國經濟的區域影響力超過日本了嗎?─ 基於不等方差檢驗的一種衡量方法"。南方經濟, 第五期, p.57-68. (CSSCI)。

16. Chingnun Lee, Fu Shuen Shie and  Chiao Yi Chang (2012),  "How Close a Relationship Does a Capital Market Have with Other Such Markets? The Case of Taiwan from the Asian Financial Crisis", Pacific-Basin Finance  Journal, vol.20, issue 3, p. 349-362. (SSCI)

17.【In Chinese】吳致寧、李慶男、張志揚、林依伶、陳佩玗、林雅淇 (2011), “再論台灣非線性利率法則”, 經濟論文, 中央研究院經濟研究所 ,第39卷第3期, p.29-60. (JEL and TSSCI).

18. Wu, J.L., Lee, C.N. and Wang, Z.W. (2011 ), “A Re-examination on Dissecting the Purchasing Power Parity Puzzle,” Journal of International Money and Finance, vol. 30, issue 3, p.572-586.(SSCI, JEL)

19. Jyh-Lin Wu, Yu-Hau Hu and Chingnun Lee (2011),“Can Dividend Yields Out-Predict UK Stock Returns without Short Rates?”, The Manchester School , vol.79,issue 6, p.1179-1196. (SSCI)

20. Jyh-Lin Wu, Pei-Fen Chen and Ching-nun Lee (2009), ”Purchasing Power Parity, Productivity Differentials and Non-linearity”, The Manchester School,  vol. 77, 3, p. 271-287. (SSCI)

21. Feng-Rong Chuang , Chih-Hsiung Lee , Hsueh-Wen Chang , Ching-Nun Lee , Te-Chuan Chen , Chung-Hua Chuang , Terry Ting-Yu Chiou , Chien-Hsing Wu , Chih-Chao Yang and Dr. I-Kuan Wang (2008), "A Quality and Cost-Benefit Analysis of Dialyzer Reuse in Hemodialysis Patients",Renal Failure (SCI)

22. Chingnun Lee and Fu-Shuen Shie (2004)," Fractional Integration and the Phillips-Perron Test", Academia Economic Papers, Vol. 32, No. 2, p. 273-312. (Econ. Lit and TSSCI) (PDF)

23. Chung, Feng-Rong, Fang, Ji-Tseng, Chen, Jin-Bor, Lin, Chun-Liang, Chen, Hue-Yong, Lee, Ching-Nun, Wang, Pao-Hui and Lee, Chil-Hsiung (2003), "Hyperhomocystinemia and the Prevalence of Symptomatic Atherosclerotic Vascular Disease in Taiwanese Chronic Hemodialysis Patients: A Retrospective Study", Renal Failure, Vol. 25, No. 5, p. 765 (SCI). 

24. Guo, Meihui, Chingnun Lee, Shyung-Yee Lee, and Jyh-Lin Wu (1999) Asymptotic Distribution of the Ordinary Least Squares Estimators of Fractional Cointegrating Vectors, ,1999 NBER/NSF Time Series Conference, Institute of Economics, Academia Sinica, Taipei, Taiwan.

25. Lee, Chingnun (1999) Fractional Cointegration Analysis of Purchasing Power Parity between Taiwan and Major Industrious Countries, Paper presented at University of Victoria/National Sun Yat-Sen University (Taiwan) Social Symposium. 

26.【In Chinese】李慶男、郭姿君 (1999)," 以分數共整合分析台灣交易性貨幣需求函數 ",台銀季刊,第50卷第1期, p. 65-87。

27.【In Chinese】李慶男 (1996), " 台灣交易性貨幣需求函數的結構和其穩定性之研究 ",台銀季刊,第47卷第4期, p. 64-86。 

28.【In Chinese】 林慶宏,李慶男,馮振杰(1999), " 台灣股、匯市與利率及貨幣供給之互動關係 ", 台灣經濟金融月刊

29.【In Chinese】李慶男,曾怡仁(1997),”公共城鎮與鄉村物價指數的分析:共整合研究”,中山大學社會科學季刊

 

Class Notes

● Lecture Notes in Econometrics

1.  Chapter 0_Mathematics.pdf  

2.  Chapter 1_Matrix.pdf 

3.  Chapter 2_Probability.pdf 

4.  Chapter 3_Estimation.pdf 

5.  Chapter 4_Asymptotic Theory.pdf 

6.  Chapter 5_Hypothesis testing.pdf

7.  Chapter 6_Linear Regression Model.pdf 

8.  Chapter 7_Violations of ideal Conditions.pdf 

9.  Chapter 8_Nonspherical Disturbance.pdf 

10.Chapter 9_Heteroscedasticity.pdf 

11.Chapter 10_Autocorrelated Disturbances.pdf 

12.Chapter 11_Panel Data Model.pdf
 

● Lecture Notes in Time Series Analysis

 

1.  Chapter 12_Introduction to Time Series Analysis

2.  Chapter 13_Difference Equations.pdf 

3.  Chapter 14_Stationary ARMA process.pdf 

4.  Chapter 15_Forecasting.pdf 

5.  Chapter 16_Stochastic Model Building.pdf 

6.  Chapter 17_Maximum Likelihood Estimation.pdf 

7.  Chapter 18_Vector Time Series.pdf 

8.  Chapter 19_Models of Nonstationary Time Series.pdf 

9.  Chapter 20_Processes with Deterministic Trends.pdf 

10.Chapter 21_Univariate Unit Root Process.pdf 

11.Chapter 22_ Unit Roots in Vector Time Series.pdf 

12.Chapter 23_Cointegration.pdf 

13.Chapter 24_Johansen's MLE for cointegration.pdf 

14.Chapter 25_Long Memory Process.pdf 

15.Chapter 26_ARCH.pdf 

16.data