《计量经济学导论》Chapter 11.pptVIP

Chapter 11 ;The assumptions used so far seem to be too restricitive Strict exogeneity, homoscedasticity, and no serial correlation are very demanding requirements, especially in the time series context Statistical inference rests on the validity of the normality assumption Much weaker assumptions are needed if the sample size is large A key requirement for large sample analysis of time series is that the time series in question are stationary and weakly dependent Stationary time series Loosely speaking, a time series is stationary if its stochastic properties and its temporal dependence s