以季节单位根的自回归时间序列统计量的分布(英文)

Distribution of the Statistic for Autoregressive Time Series with a Seasonal Unit Root

在平均值为零或平均值为已知的季节时间序列模型中，根据加权对称估计量提出季节单位根的检验统计量，并求出此统计量的极限分布的表达式．用ＭｏｎｔｅＣａｒｌｏ方法计算出此统计量和极限分布的实验百分位数值和势权值，并与通常的最小方差统计量作出比较．

In this article, we propose seasonal unit root test statistics based on the Weighted Symmetric estimator and derive representation for limiting distributions of the statistics. We compute empirical percentiles and empirical power of the statistics by Monte Carlo method and compare the performances with the test based on the Ordinary Least Squires estimator.