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Annals of the Institute of Statistical Mathematics

, Volume 49, Issue 3, pp 585–599 | Cite as

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

  • Rolf Larsson
Article

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.

Autoregression with trend unit root test 

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Copyright information

© The Institute of Statistical Mathematics 1997

Authors and Affiliations

  • Rolf Larsson
    • 1
    • 2
  1. 1.Department of MathematicsUppsala UniversityUppsalaSweden
  2. 2.Department of StatisticsStockholm UniversityStockholmSweden

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