自回归模型在实践中的问题分析

自回归模型是一种被广泛使用的计量经济模型，但在实践中通常会引起多重共线性，从而导致外生解释变量的系数发生较大变化，一些变量不再显著，模型失去经济意义。本文首先分析这些现象是如何发生的，然后通过一个典型的例子给予说明，最后提出了改进模型的建议。

The Analysis of the Problems in Autoregressive Model in Practice

The autoregressive model is frequently used, but it will generally give rise to multicollinearity in practice. It will distort the parameters on the exogenous variables, and some variables will not be significant anymore, and the model will lose economical meaningness. This paper will firstly analyze how these happen, then demonstrate the phenomena by a typical example, and give some advices to improve the model at last.