Finding t-statistic
$begingroup$
I have $Ysim text{AR}(1)$ and it gives $Y_t=v+aY_{t-1}$. Next I count OLS estimators $a_{a}$ and $v_{v}$ of the parameters $a$ and $v$. And it gives me
$$v_v=frac1nleft(sum_{t=1}^nY_t-a_asum_{t=1}^nY_{t-1}right),quad a_a=frac{displaystyle nsum_{t=1}^nY_tY_{t-1}-sum_{t=1}^nY_tsum_{t=1}^nY_{t-1}}{displaystyle nsum_{t=1}^nY_{t-1}^2-left(sum_{t=1}^nY_{t-1}right)^2}.$$
Now I must find t-statistics of the parameter $a$, but I do not know how to do it because I can use only vector $Y$ and it is the only known value.
statistics
edited Dec 3 '18 at 13:01
Saad
19.7k92352
asked Dec 3 '18 at 12:52
AbakusAbakus
32
$endgroup$
add a comment |
$begingroup$
I have $Ysim text{AR}(1)$ and it gives $Y_t=v+aY_{t-1}$. Next I count OLS estimators $a_{a}$ and $v_{v}$ of the parameters $a$ and $v$. And it gives me
$$v_v=frac1nleft(sum_{t=1}^nY_t-a_asum_{t=1}^nY_{t-1}right),quad a_a=frac{displaystyle nsum_{t=1}^nY_tY_{t-1}-sum_{t=1}^nY_tsum_{t=1}^nY_{t-1}}{displaystyle nsum_{t=1}^nY_{t-1}^2-left(sum_{t=1}^nY_{t-1}right)^2}.$$
Now I must find t-statistics of the parameter $a$, but I do not know how to do it because I can use only vector $Y$ and it is the only known value.
statistics
edited Dec 3 '18 at 13:01
Saad
19.7k92352
asked Dec 3 '18 at 12:52
AbakusAbakus
32
$endgroup$
add a comment |
$begingroup$
I have $Ysim text{AR}(1)$ and it gives $Y_t=v+aY_{t-1}$. Next I count OLS estimators $a_{a}$ and $v_{v}$ of the parameters $a$ and $v$. And it gives me
$$v_v=frac1nleft(sum_{t=1}^nY_t-a_asum_{t=1}^nY_{t-1}right),quad a_a=frac{displaystyle nsum_{t=1}^nY_tY_{t-1}-sum_{t=1}^nY_tsum_{t=1}^nY_{t-1}}{displaystyle nsum_{t=1}^nY_{t-1}^2-left(sum_{t=1}^nY_{t-1}right)^2}.$$
Now I must find t-statistics of the parameter $a$, but I do not know how to do it because I can use only vector $Y$ and it is the only known value.
statistics
edited Dec 3 '18 at 13:01
Saad
19.7k92352
asked Dec 3 '18 at 12:52
AbakusAbakus
32
$endgroup$
I have $Ysim text{AR}(1)$ and it gives $Y_t=v+aY_{t-1}$. Next I count OLS estimators $a_{a}$ and $v_{v}$ of the parameters $a$ and $v$. And it gives me
$$v_v=frac1nleft(sum_{t=1}^nY_t-a_asum_{t=1}^nY_{t-1}right),quad a_a=frac{displaystyle nsum_{t=1}^nY_tY_{t-1}-sum_{t=1}^nY_tsum_{t=1}^nY_{t-1}}{displaystyle nsum_{t=1}^nY_{t-1}^2-left(sum_{t=1}^nY_{t-1}right)^2}.$$
Now I must find t-statistics of the parameter $a$, but I do not know how to do it because I can use only vector $Y$ and it is the only known value.
statistics
statistics
edited Dec 3 '18 at 13:01
Saad
19.7k92352
asked Dec 3 '18 at 12:52
AbakusAbakus
32
edited Dec 3 '18 at 13:01
Saad
19.7k92352
asked Dec 3 '18 at 12:52
AbakusAbakus
32
edited Dec 3 '18 at 13:01
Saad
19.7k92352
edited Dec 3 '18 at 13:01
Saad
19.7k92352
edited Dec 3 '18 at 13:01
Saad
19.7k92352
19.7k92352
asked Dec 3 '18 at 12:52
AbakusAbakus
32
asked Dec 3 '18 at 12:52
AbakusAbakus
32
asked Dec 3 '18 at 12:52
AbakusAbakus
32
32
add a comment |
add a comment |
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