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平稳时间序列因果因子模型的识别
We consider identification of a class of dynamic factor model. We show that identification holds under reasonably general conditions. The results apply to many of the dynamic factor models that have appeared in the literature and to many worthwhile generalizations of those models. Copyright Royal Economic Socciety 2004
变量测量误差与协整
In this article it is shown how the cointegration or joint trending behavior of economic time series helps to alleviate the errors in variables problem.
线性过程的渐近理论
A method of deriving asymptotics for linear processes is introduced which uses an explicit algebraic decomposition of the linear filter. The technique is closely related to Gordin's method but has some advantages over it, especially in terms of its range of application. The method offers a simple unified approach to strong laws, central limit theory and invariance principles for linear processes. Sample means and sample covariances are covered. The results accommodate both…
ARIMA 模型的差分阶数
A Lagrange multiplier test is derived for testing for the order of differencing in an autoregressive integrated moving average (ARIMA) model. The procedure is illustrated with an example.