Distribution of the Estimators for Autoregressive Time Series with a Unit Root

全球高被引研究（被引 23,122 次，发表于 1979）。 Let n observations Y 1, Y 2, ···, Y n be generated by the model Y t = pY t−1 + e t , where Y 0 is a fixed constant and {e t } t-1 n is a sequence of independent normal random variables with mean 0 and variance σ2. Proper…