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On the asymptotic expectations of some unit root tests in a first order autoregressive process in the presence of trend
Uppsala University.
1997 (English)In: ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, Vol. 49, no 3, 585-599 p.Article in journal (Other scientific) Published
Abstract [en]

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

Place, publisher, year, edition, pages
KLUWER ACADEMIC PUBL , 1997. Vol. 49, no 3, 585-599 p.
Keyword [en]
autoregression with trend; unit root test; TIME-SERIES REGRESSION; COINTEGRATION VECTORS; MODELS; BIAS
Identifiers
URN: urn:nbn:se:uu:diva-26988OAI: oai:DiVA.org:uu-26988DiVA: diva2:54882
Note
Addresses: UPPSALA UNIV, DEPT MATH, S-75106 UPPSALA, SWEDEN.Available from: 2008-10-17 Created: 2008-10-17 Last updated: 2011-01-15

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