作者wwwwwww1 (wwwwwww)
看板Statistics
標題Re: [問題] 為什麼跑AR時 可以不考慮correlationꨠ…
時間Mon Feb 12 03:29:00 2007
※ 引述《[email protected] (老怪物)》之銘言：
: ※ 引述《[email protected] (哪個王八蛋一天上十九次됩》之銘言：
: 你弄錯了吧?
: 除非你的 Z 指誤差項.
: > Instrument variables is mainly used to deal with the difficulty
: > that the explanatory variables and error terms are correlated.
: > AR models have no such difficulty.
: > But ARMA models do have and can be treated by instrument variables.
: > For example, in the ARMA(1,1) case, you cannot get a consistent estimator of
: > AR coeff. by regressing x_{t} on x_{t-1}.
: > But you can get a consistent estimator of the AR coff. by regressing
: > x_{t} on x_{t-2}. Now x_{t-2} is the instrument variable.
: 既然是 ARMA model, 為甚麼只考慮不完整的 AR, 然後又
: 搞個工具變數出來? 用 ARMA model 去計算會比較差嗎?
This is only a simple example illustrating how to use the IV.
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