qianjb81 发表于 2012-5-7 22:53
横截面数据下不会出现自相关,你说的情况要么出现在面板数据下,要么是指同期相关。另,因变量存在相关性一 ...
谢谢!
可是我看到论文是这么说的
A final econometric issue is that errors across firms may not be independent because returns are correlated in calendar time. As a diagnostic measure to address this issue, I run simulated regressions of the actual return data on a wide variety of randomly generated hypothetical variables. In 10,000 repetitions, the coefficients on the hypothetical variables are significant at the 1% level 1.1% of the time, at the 5% level 5.3% of the time, and at the 10% level 10.3% of the time. The lack of spuriously significant coefficients suggests that correlation of errors is not a serious problem in the data.
本文来自: 人大经济论坛 计量经济学与统计 版,详细出处参考:
https://bbs.pinggu.org/forum.php? ... amp;from^^uid=1543606
比如市场受到冲击,股票价格普遍下降,因变量之间是相关的,换言之,误差项也是相关的,如果是截面数据,怎么解决?或者需要解决吗?我看到有用伪回归的方法,但不大懂,谁帮忙看下?