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有助于实施 Litterman 时间序列插值程序的两项结果AI 解读

Litterman (1983) recently suggested a modification to the rameter to be accurate. Litterman's notation is followed Chow and Lin (1971) and Fernandez (1981) procedures for throughout. interpolating monthly data from an observed quarterly time series. ~riefl~ stated, the Litterman proceduri involves obtaining generalized least squares (GLS) forecasts of the monthly 2. THE LITTERMAN PROCEDURE IN BRIEF values of interest-the GLS estimates determined from quar- Letting Y* denote…

异方差下两个线性回归系数集合相等的检验AI 解读

Structural shift is a common problem in a relationship dealing with time series data. Chow (1960) developed a test to detect such a shift under the assumption that observations both before and after the shift have the same variance. Structural shifts, however, often accompany changes in variance as well, and the Chow test is not robust to such changes. Two relatively robust tests are proposed and are found to be highly powerful.

异方差下两个线性回归系数集合的相等性检验AI 解读

Structural shift is a common problem in a relationship dealing with time series data. Chow (1960) developed a test to detect such a shift under the assumption that observations both before and after the shift have the same variance. Structural shifts, however, often accompany changes in variance as well, and the Chow test is not robust to such changes. Two relatively robust tests are proposed and are found to be highly powerful.