如题,Stata10手册中,第32-33页有一个简要的操作,
α2=α0+α(0.4εt-1
+
0.3εt-2
+0.2εt-3
+
0.1εt-4)
进行arch估计,先确定约束变量,命令是:
Constraints 1 (3/4)*[ARCH]L1.ARCH=[ARCH]L2.ARCH
Constraints 2 (2/4)*[ARCH]L1.ARCH=[ARCH]L3.ARCH
Constraints 3 (1/4)*[ARCH]L1.ARCH=[ARCH]L4.ARCH
请问“ (3/4)*[ARCH]L1.ARCH=[ARCH]L2.ARCH ”是什么意思啊?