ch11 Stationary Stochastic Process 《计量经济学导论》教材.pptVIP

Stationary Stochastic Process A stochastic process is stationary if for every collection of time indices 1 ≤ t1 … tm the joint distribution of (xt1, …, xtm) is the same as that of (xt1+h, … xtm+h) for h ≥ 1 Thus, stationarity implies that the xt’s are identically distributed and that the nature of any correlation between adjacent terms is the same across all periods Covariance Stationary Process A stochastic process is covariance stationary if E(xt) is constant, Var(xt) is constant and for any t, h ≥ 1, Cov(xt, xt+h) depends only on h and not on t Thus, this weaker form of stationarity requires only that the mean and variance are constant across time, and the covariance just depends on the distance across time Weakly Dependent Time Series A stationary time series is weakly dependent if xt and xt+h are “almost independent” as h increases If for a covariance stationary process Corr(xt, xt+h) → 0 as h → ∞, we’ll say this covariance stationary process is weakly dependent Want to still use law of large numbers An MA(1) Process A moving average process of order one [MA(1)] can be characterized as one where xt = et + a1et-1, t = 1, 2, … with et being an iid sequence with mean 0 and variance s2e This is a stationary, weakly dependent sequence as variables 1 period apart are correlated, but 2 periods apart they are not An AR(1) Process An autoregressive process of order one [AR(1)] can be characterized as one where yt = ryt-1 + et , t = 1, 2,… with et being an iid sequence with mean 0 and variance se2 For this process to be weakly dependent, it must be the case that |r| 1 Corr(yt ,yt+h) = Cov(yt ,yt+h)/(sysy) = r1h which becomes small as h increases Large-Sample Inference Weaker assumption of homoskedasticity: Var (ut|xt) = s2, for each t Weaker assumption of no serial correlation: E(utus| xt, xs) = 0 for t  s With these assumptions, we have asymptotic normality and the usual standard errors, t statistics, F statistics and LM statistics are valid Random Wa