ASYMPTOTIC DISTRIBUTIONS FOR UNIT ROOT TEST STATISTICS IN NEARLY INTEGRATED SEASONAL AUTOREGRESSIVE MODELS
研究了带截距或线性趋势的季节自回归模型，在近单位根条件下给出了自回归参数OLS估计量的渐近分布，并近似了单位根原假设下t统计量的极限分布。
Seasonal autoregressive models with an intercept or linear trend are discussed. The main focus of this paper is on the models in which the intercept or trend parameters do not depend on the season. One of the most important results from this study is the asymptotic distribution for the ordinary least squares estimator of the autoregressive parameter obtained under nearly integrated condition, and another is the approximation to the limiting distribution of the t -statistic under the null for testing the unit root hypothesis.