Parameter Inference for a Nearly Nonstationary First-Order Autoregressive Model
研究一阶自回归模型中得分函数的有限样本行为，解释模型趋近单位根非平稳时得分分布的转变，并给出基于两个卡方变量的简单解释和实用近似分布。
The finite sample behaviour of the score function in a first-order autoregression is investigated. An object is to interpret the transition of the distribution of the score when the model approaches a nonstationary situation with a unit root. A framework is presented wherein the nonnormality of the score is clearly seen. Also, a simple interpretation for the behaviour of the distribution in terms of two chi-squared variables is given. Approximate finite sample distributions for practical use are also proposed.