(Received September 8, 1995; revised September 11, 1996)
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.
Key words and phrases: Autoregression with trend, unit root test.
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