Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression
提供了一种准确模拟爆炸性自回归过程的方法，并用于分析单位根在爆炸性二阶自回归过程中似然比检验统计量的分布，解决了以往模拟中数值不准确的问题。
This paper provides a means of accurately simulating explosive autoregressive processes and uses this method to analyze the distribution of the likelihood ratio test statistic for an explosive second-order autoregressive process of a unit root. While the standard Dickey–Fuller distribution is known to apply in this case, simulations of statistics in the explosive region are beset by the magnitude of the numbers involved, which cause numerical inaccuracies. This has previously constituted a bar on supporting asymptotic results by means of simulation, and analyzing the finite sample properties of tests in the explosive region.