On the Asymptotic Expectations of Some Unit Root Tests in a First Order Autoregressive Process in the Presence of Trend |
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| Authors: | Rolf Larsson |
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| Institution: | (1) Department of Mathematics, Uppsala University, P.O. Box 480, S-751 06 Uppsala, Sweden;(2) Department of Statistics, Stockholm University, S-106 91 Stockholm, Sweden |
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| Abstract: | Estimation in a first order autoregressive process with trend isconsidered. Integral expressions for the asymptotic bias of the estimatorunder a unit root and for the expectation of the limit distribution of thelog likelihood ratio test for a unit root are given, and evaluatednumerically. |
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| Keywords: | Autoregression with trend unit root test |
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