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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Larsson, R. On the Asymptotic Expectations of Some Unit Root Tests in a First Order Autoregressive Process in the Presence of Trend. Annals of the Institute of Statistical Mathematics 49, 585–599 (1997). https://doi.org/10.1023/A:1003131215117
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DOI: https://doi.org/10.1023/A:1003131215117