A General Approach to the Limiting Distribution for Estimators in Time Series Regression with Nonstable Autoregressive Errors
提出一种通用方法，推导非平稳自回归误差时间序列回归中自回归参数标准化估计量的极限分布，并给出百分位点表，可用于评估单位根检验的极限功效。
We consider the time series regression model where the error term follows a nonstable autoregressive process, and present a general approach for deriving the limiting distribution of a normalized estimator for the autoregressive parameter. The present approach is quite straightforward and leads us to an accurate evaluation of the distribution function, unlike the other approaches suggested in the literature. Our methodology is illustrated and percent points are tabulated. The present approach produces a good approximation method for the finite sample distribution and also provides an accurate evaluation of the limiting powers of some unit root tests under a sequence of local alternatives.