?T?12??yit?t?0?T?1???yit ??t?0T?1T??T?12T???yit???yit??yit??yit?yit?1?yit?t?0t?0t?1??t?0t?1?TTT?1T?????N????yit??N?yit?1?yit??yit??yit?t?1t?0t?1??t?1?? ??22TT?1T?1T?1T?1??????22N?yit???yit???yit?1?yit?N?yit???yit??t?0t?0?t?0??t?1?t?0?T?1??i??N?yit?1?yit??yit??yitt?1t?0T?1??2N?yit???yit?t?0?t?0???i?????iVar?iT?1t?12TT?1T
t?i??
?Var?i?????17
换个思路，双残差的思路。
?yi?τ??iyi,?1??i 退势
e1?M??yie2?M?yi,?1?e??ie2??'i
1??iT??M?yi,?1?M?yi,?1 ??yTi,?1?1??T??1?M?y?i,?1TM??yiM?yi,?1?yiT,?1M??yi
Var?iT??iT????2??My?i,?1?TM?yi,?1??1??iT?y?2Ti,?1M?yi,?1?
?1 18
tiT??i?yiT,?1M?yi,?1??iTTi,?1?12?????y?M?yi,?1?y?1Ti,?1M??yi??yTi,?1M?yi,?1??12?iT
Ty?i,?1M??yi??iT?yiT,?1M?yi,?1?T?y?iMX?yi?12?iT??2T?2T，
M??IT??T???TTT??1?TT
MX?IT?X?XX?XT
19
?1 简化形式
t?yTiM?yi,?1it??1??Tit(yi,?1M?yi,?1)2
??yTiM??yiit?T?120
?
