正交级数方法与非平稳时间序列模型估计和检验的一些研究进展
|
|
董朝华, 高集体, 朱平芳
|
Recent Developments on Nonstationary Time Series Model Estimation and Testing Driven by Orthogonal Series Method
|
|
Chaohua DONG, Jiti GAO, Pingfang ZHU
|
|
表2 单指标模型的估计偏误和标准差
|
| |
|
| Bias | | s.d. | | n | 400 | 600 | 1000 | | 400 | 600 | 1000 | | $\widehat{\alpha}_{1n} $ | 0.0866 | 0.0768 | 0.0340 | | 0.3803 | 0.3748 | 0.3338 | | $\widehat{\alpha}_{2n} $ | 0.0013 | –0.0008 | –0.0006 | | 0.1388 | 0.1186 | 0.0898 | | $ \widehat{\alpha}_{n, \text{unit}}^1$ | –0.0073 | –0.0061 | –0.0031 | | 0.0246 | 0.0237 | 0.0128 | | $ \widehat{\alpha}_{n, \text{unit}}^2$ | 0.0011 | –0.0018 | –0.0003 | | 0.1186 | 0.1080 | 0.0779 |
|
|
|