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来自:CFA > 2023 Level II > Quantitative Methods > Learning Module 3 Model Misspecification 2023-01-11 16:25
老师,the independent variable is a lagged value of the dependent variable怎么理解?以及为什么invalid coefficient estimates, deflated standard errors?
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Michelle

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融跃答疑王老师    2023-01-12 11:48

致精进的你:

yt=a+b yt-1, BG test statistic exceeds the critical value,所以invalid coefficient estimates, deflated standard errors

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