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Gaussian Inference in AR(1) Models with Trend:A Note
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Journal Article
Gaussian Inference in AR(1) Models with Trend:A Note
2014
Overview
本文將Phillips and Han (2008)之一階差分估計式推展至有時間趨勢之一階自我 迴歸模型的估計與推論上。藉由簡易的去除時間趨勢過程, 一階差分估計式仍具 有漸近常態分配的性質; 同時, 據以建構之單根檢定相較於以雙重差分估計式為 基礎之單根檢定更有檢定力。本文提出的方法在固定效果動態追蹤資料模型下更 具應用價值
