MOMENT GENERATING FUNCTIONS AND FURTHER EXACT RESULTS FOR SEASONAL AUTOREGRESSIONS
推导了季节自回归模型在平稳、单位根和爆炸性设定下二次型的联合矩生成函数，并用于研究季节周期参数对OLS系数和t统计量分布及参数估计渐近偏差的影响。
This paper derives the joint moment generating function of quadratic forms occurring in seasonal autoregressive models under stationary, unit root, and explosive specifications. The results are then used to investigate the impact of the seasonal periodicity parameter on various distributional results for both the normalized ordinary least squares coefficient and t -ratio and its effects on the asymptotic bias of parameter estimates.