标题: Mean reverting level? [打印本页] 作者: BC_MBA_student 时间: 2011-7-11 19:48 标题: Mean reverting level?
If a time series is covariance stationary, Delta X_t = -0.0405 - 0.4674 Delta X_t-1, what is the Mean reverting level? Hint: Mean reverting level = b_0/(1-b_1).作者: flyinggirl 时间: 2011-7-11 19:48
hmmm... didn't think that was too difficult. Also, this kind of question has popped up in many places.作者: eoin 时间: 2011-7-11 19:48
Give us a clue???作者: llxx 时间: 2011-7-11 19:48
good for you...that got me the first time, as I used b1=0.4674作者: chaojimali 时间: 2011-7-11 19:48
Dreary - can you show the full calculation?作者: zhaoyp 时间: 2011-7-11 19:48
