계량경제학/시계열3 시계열 conditional 관련해서 정리 https://economics.stackexchange.com/questions/17411/endogeneity-and-the-ar-model Endogeneity and the AR model? an AR(p) process is given by: $$y_t=\phi_0+\phi_1y_{t-1}+\phi_2y_{t-2}+...+\phi_{t-p}y_{t-p}+u_t$$ In such a model we have endogenous variables. My question is, why is this not an issue when deal... economics.stackexchange.com 틀린 답안임. https://stats.stackexchange.com/questions/240383/why.. 2021. 11. 27. 오차항 자기상관 검정 결과 Model 1: OLS, using observations 1980-2017 (T = 38) Dependent variable: GDP coefficient std. error t-ratio p-value --------------------------------------------------------- const −288976 17853.5 −16.19 4.22e-018 *** CPI 17058.6 262.372 65.02 6.32e-039 *** Mean dependent var 787903.9 S.D. dependent var 440968.1 Sum squared resid 6.08e+10 S.E. of regression 41080.96 R-squared 0.991556 Adjusted R-s.. 2021. 11. 25. cointegration test Step 1: testing for a unit root in GDP Augmented Dickey-Fuller test for GDP including one lag of (1-L)GDP sample size 36 unit-root null hypothesis: a = 1 test with constant model: (1-L)y = b0 + (a-1)*y(-1) + ... + e estimated value of (a - 1): 0.0153264 test statistic: tau_c(1) = 1.7806 asymptotic p-value 0.9998 1st-order autocorrelation coeff. for e: -0.070 Step 2: testing for a unit root in CP.. 2021. 11. 24. 이전 1 다음
