对状态空间模型估计,得到如下结果:
Coefficient
Std. Error
z-Statistic
Prob.
C(1)
-33.81488
17.83276
-1.896223
0.0579
C(2)
0.245993
0.116226
2.116503
0.0343
Final State
Root MSE
z-Statistic
Prob.
SH1
3.413399
0.208865
16.34260
0.0000
SH2
0.120056
0.108443
1.107088
0.2683
SH3
2.098726
0.654451
3.206848
0.0013
Log likelihood
-191.6070
Akaike info criterion
3.652962
Parameters
2
Schwarz criterion
3.703216
Diffuse priors
3
Hannan-Quinn criter.
3.673330
但时变参数一部分值大于1,按理是应该小于1的,请问问题出在哪里了啊,急求,谢谢!(高分相送)