Approximations to the Distribution of the Sample Autocorrelation Coefficient in the Presence of Unit Roots

In this work, we start accompanying the first order autoregressive model [AR (1)] y_t=ρy_(t-1)+ε_t, t=1,2,…,n,place y_0=0, the variables ε_1,…,ε_n are free and similarly delivered (iid) N(0,σ^2), |ρ|≤1 and we will study approximations to the disposal of the autocorrelation cooperative as

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