The Fractional Unit Root Distribution
推导了分数积分序列下一阶自回归模型OLS估计的渐近分布，提出分数单位根分布，并指出单位根分布是该族中密度在整个实轴上非零的特例。
Asymptotic distributions are derived for the ordinary least squares estimate of a first order autoregression model when the series is fractionally integrated. The fractional unit root distribution is introduced to describe the limiting distribution. The unit root distribution is shown to be an atypical member of this family because its density is nonzero over the entire real line. For -1/2 Copyright 1990 by The Econometric Society.