Asymptotic Normality, When Regressors Have a Unit Root
证明在回归方程含有非平稳变量时，普通最小二乘和线性工具变量估计量在一般条件下仍具有渐近正态性，且可用标准公式计算一致方差估计，从而支持常规推断。
Under fairly general conditions, ordinary least squares and linear instrumental variables estimators are asymptotically normal when a regression equation has nonstationary right hand side variables. Standard formulas may be used to calculate a consistent estimate of the asymptotic variance-covariance matrix of the estimated parameter vector, even if the disturbances are conditionally heteroskedastic and autocorrelated. So inference may proceed in the usual way. The key requirements are that the nonstationary variables share a common unit root and that the unconditional mean of their first differences is nonzero. Copyright 1988 by The Econometric Society.