The LM Test Statistic for Local Level Model with MA Innovation
碩士 === 國立中山大學 === 應用數學研究所 === 84 === Consider the following local level model(Harvey, 1989): $$\left\{\begin{array}{ll} y_{t}=\alpha_{t}+\beta_{0}+\beta_{1 }t+\varepsilon_{t}\\ \alpha_{t}=\alpha_{t-1}+\mu_{t} \end{array} \right.$$ where $\{...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
1996
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| Online Access: | http://ndltd.ncl.edu.tw/handle/75583691614175227878 |