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- 2011-7-11
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- 2014-8-7
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Your first equation is a random walk, which is a special type of unit root.
If the coefficient is .936 then it is not a unit root by definition, using the b0 / (1-b1) equation.
Depends on what data is presented. If quarterly, we use AR(4). If monthly, we use AR(12).
DW test cannot be used on an AR model. You have to check if any of the lagged variables are statistically significant. If they are, then you have a problem.
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发表于 2011-7-13 16:12
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