MulticolIinearity Problems in Modeling Time Series With Trading-Day Variation
交易日效应时间序列模型中的多重共线性问题
This article discusses the multicollinearity problems associated with the estimation of time series models influenced by trading-day variation. An analysis of the design matrix is performed, and measures of the degree of multicollinearity are computed. The characteristics of the design matrix of a popular parameterization are also analyzed, and it is shown that in some cases use of this reparameterization significantly alleviates the multicollinearity problem.