The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model
用精确数值方法计算了近单位根一阶自回归模型中最小二乘估计量的极限累积分布和概率密度函数，并检验了近似效果。
We tabulate the limiting cumulative distribution and probability density functions of the least-squares estimator in a first-order autoregressive regression when the true model is near-integrated in the sense of Phillips. The results are obtained using an exact numerical method which integrates the appropriate limiting moment generating function. The adequacy of the approximation is examined for various first-order autoregressive processes with a root close to unity.