NO.PZ2020011101000021
问题如下:
Why does a unit root with a time trend,
Yt=δ1+Yt−1+ϵt
not depend explicitly on t?
选项:
解释:
The time trend becomes apparent as the series is propagated backwards:
Yt=δ1+Yt−1+ϵt=2δ1+Yt−2+ϵt+ϵt−1=...=tδ1+Y0+∑i=1tϵi
Yt中的变量其实只有t*δ1 和 每一次的随机项了
t*δ1 项不是depend on t 吗,为什么说not depend explicitly on t