UNIT ROOT SEASONAL AUTOREGRESSIVE MODELS WITH A POLYNOMIAL TREND OF HIGHER DEGREE
研究了带高阶多项式趋势的季节性自回归模型，在单位根情形下推导了自回归参数估计量和t统计量的极限分布，并给出了二阶和三阶多项式趋势时的联合矩母函数及模拟结果。
Seasonal autoregressive models with a polynomial trend of higher degee are treated. In the unit root case, the limiting distribution of the normalized least squares estimator for the autoregressive parameter and that of the corresponding t -statistic are discussed as the length of the sample period tends to infinity. In the case where the polynomial trend has the second or third degree, the joint moment generating functions associated with these limiting distributions are derived, and some simulation results are reported. The asymptotic behavior of these limiting distributions is discussed when the polynomial degree or the number of seasons tends to infinity.