This paper study the asymptotic properties of the LSDV estimator on the assumption that the time series is general correlation. We show that the LSDV estimator is consistent for its true value, but the t statistic diverges.

 
  • 本文在假定時(shí)間序列一般相關(guān)的前提下利用面板貝弗里奇-納爾遜分解考察面板LSDV估計量的虛假回歸性質(zhì),研究表明面板虛假回歸的LSDV估計量對其真值是一致的,并且是漸近正態(tài)分布的,但其t值是發(fā)散的。
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