AR(1) MODELS, UNIT ROOTS, AND ADJUSTED PROFILE LIKELIHOOD
AR(1) 模型、单位根与调整剖面似然
An unobserved components and a conventional first-order autoregressive (AR) model with constant are analyzed with the adjusted profile likelihood of Cox and Reid (1987, Journal of the Royal Statistical Society, Series B 49, 1–39; 1993, Journal of the Royal Statistical Society, Series B 55, 467–71). Both the unobserved components model and the Cox–Reid adjustment can provide more accurate estimates of an AR coefficient of unity. The unobserved components model yields more…