| 存在自相关时检验和估计方法的改进——基于自回归分布滞后模型的自相关检验和参数估计 |
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| 引用本文： | 张荷观.存在自相关时检验和估计方法的改进——基于自回归分布滞后模型的自相关检验和参数估计[J].统计与信息论坛,2012,27(4):44-49. |
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| 作者姓名： | 张荷观 |
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| 作者单位： | 江南大学商学院,江苏无锡,214122 |
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| 摘 要： | 存在自相关时的自相关检验和参数估计是基础计量经济学的一个重要内容,并且存在自相关时的原模型已转化为自回归分布滞后模型。讨论存在自相关时的自相关检验和参数估计问题,提出了一种基于自回归分布滞后模型的自相关检验法,并同时给出了相应的参数估计。
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| 关 键 词： | 自回归分布滞后模型 自相关 检验和估计 |
Improvement on Testing and Estimation While Presenting Autocorrelation:Testing for Autocorrelation and Parameter Estimation Based on the Autoregressive Distributed Lag Model |
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| ZHANG He-guan.Improvement on Testing and Estimation While Presenting Autocorrelation:Testing for Autocorrelation and Parameter Estimation Based on the Autoregressive Distributed Lag Model[J].Statistics & Information Tribune,2012,27(4):44-49. |
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| Authors: | ZHANG He-guan |
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| Institution: | ZHANG He-guan(School of Business,Jiangnan University,Wuxi 214122,China) |
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| Abstract: | The test for autocorrelation and parameter estimate on model presenting autocorrelation is an important part of basic econometrics.Original model with autocorrelation is transformed into autoregressive distributed lag model.In this paper,the test for autocorrelation and parameter estimate was discussed.The test for autocorrelation based on the autoregressive distributed lag model was presented.At the same time,the estimation for the autoregressive distributed lag model was given. |
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| Keywords: | autoregressive distributed lag model autocorrelation testing and estimating |
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