On the Exact Moments of Asymptotic Distributions in an Unstable Ar(1) with Dependent Errors
推导了相依误差下不稳定AR(1)模型中OLS估计量和t统计量渐近分布的精确矩，并研究了近似独立同分布误差模型与纯独立同分布误差模型在分布矩匹配上所需滞后因变量数量的关系。
In this paper we derive the exact moments of asymptotic distributions of the OLS estimate and t - statistic in an unstable AR(1) with dependent errors. We also study the relationship between the number of lagged dependent variables required for matching the distribution moments in the `approximately i.i.d. errors' model with those occurring in the `purely i.i.d.' model.