Asymptotic Normality of the Least-Squares Estimates for Higher Order Autoregressive Integrated Processes with Some Applications
高阶自回归单整过程最小二乘估计的渐近正态性及其应用
Using the asymptotic normality of the least-squares estimates for the autoregressive (AR) process with real, positive unit roots and at least one stable root, we consider the asymptotic distributions of the Wald and t ratio tests on AR coefficients. In addition, we propose a method of constructing confidence intervals for the sum of AR coefficients possibly in the presence of a unit root. Using simulation methods, we compare the finite-sample cumulative distributions of the…