Weak Convergence of the Residual Empirical Process in Explosive Autoregression
爆炸性自回归中残差经验过程的弱收敛
This paper proves the weak convergence of the residual empirical process in an explosive autoregression model to the Brownian bridge. As an application the Kolmogorov-Smirnov goodness-of-fit test for testing that the errors have a specified distribution is shown to be asymptotically distribution-free.