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第 11 頁
Kim ( 2001 ) simulated a wide range of univariate and bivariate AR models with
or without linear time trend , under normal and non - normal innovations
including Student t and ARCH . It is found that bootstrap - afterbootstrap
prediction ...
Kim ( 2001 ) simulated a wide range of univariate and bivariate AR models with
or without linear time trend , under normal and non - normal innovations
including Student t and ARCH . It is found that bootstrap - afterbootstrap
prediction ...
第 15 頁
The Bera - Jarque test for non - normality and the LM test for ARCH innovations
are also reported . It is evident that some time series show strong evidence for
non - normality and conditional heteroskedasticity in their residuals . Simulations
...
The Bera - Jarque test for non - normality and the LM test for ARCH innovations
are also reported . It is evident that some time series show strong evidence for
non - normality and conditional heteroskedasticity in their residuals . Simulations
...
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