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


  • Rolf Larsson


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  • Rolf Larsson, 1997. "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, Springer;The Institute of Statistical Mathematics, vol. 49(3), pages 585-599, September.
  • Handle: RePEc:spr:aistmt:v:49:y:1997:i:3:p:585-599 DOI: 10.1023/A:1003131215117

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    References listed on IDEAS

    1. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    2. Evans, G B A & Savin, N E, 1984. "Testing for Unit Roots: 2," Econometrica, Econometric Society, vol. 52(5), pages 1241-1269, September.
    3. Abadir, Karim M., 1993. "Ols Bias in a Nonstationary Autoregression," Econometric Theory, Cambridge University Press, vol. 9(01), pages 81-93, January.
    4. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    5. repec:cup:etheor:v:9:y:1993:i:1:p:81-93 is not listed on IDEAS
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    Cited by:

    1. Abadir Karim M. & Larsson Rolf, 2012. "Biases of Correlograms and of AR Representations of Stationary Series," Journal of Time Series Econometrics, De Gruyter, vol. 4(1), pages 1-11, May.
    2. Jacobson, Tor & Larsson, Rolf, 1999. "Bartlett corrections in cointegration testing," Computational Statistics & Data Analysis, Elsevier, vol. 31(2), pages 203-225, August.

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    Autoregression with trend; unit root test;


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