On the Asymptotic Expectations of Some Unit Root Tests in a First Order Autoregressive Process in the Presence of Trend

Author: Larsson R.^{1, 2}

Source: Annals of the Institute of Statistical Mathematics, Volume 49, Number 3, September 1997 , pp. 585-599(15)

Publisher: Springer

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Abstract:

Estimation in a first order autoregressive process with trend is considered. Integral expressions for the asymptotic bias of the estimator under a unit root and for the expectation of the limit distribution of the log likelihood ratio test for a unit root are given, and evaluated numerically.

Keywords: Autoregression with trend; unit root test

Language: English

Document Type: Regular paper

Affiliations: 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

Publication date: 1997-09-01