Przyjmijmy, że estymator parametru modelu∆e= ρ e −1 + ν , (D.7.)ntNTntntgdzie e nt są resztami modelów (D.1)-(D.6.), w przypadku prawdziwości hipotezy okointegracji jest dany wzorem 66 :N TN T2 −1∑∑ent−1 ) ∑∑(ent−∆ent− ˆ1 λn)n= 1 t= 1 n= 1 t=1ˆ ρ −1= (. (D.8)NTParametry λˆ n są oparte na resztach modelu e nt =ρe nt-1 +u nt tak, że:<strong>dla</strong>SnT−1nˆλ = T ∑ wsS∑uˆntuˆn nt−s(D.9.)s=1 t=1w sS nbędących odpowiednio dobranymi wagami.Dla homogenicznego modelu danych panelowych przy statystykarozkładu normalnego N(0,1) <strong>dla</strong> N→∝.t ρˆ należy doNT66 Ibidem58
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