Likelihood ratio statistics for autoregressive time series with a unit root
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...It should be emphasized that the DGPs for Cases II and III are treated as identical as are those for Cases IV and V. However, as in the test for a unit root proposed by Dickey and Fuller (1979) compared with that of Dickey and Fuller (1981) for univariate models, estimation and hypothesis testing in Cases III and V proceed ignoring the constraints linking respectively the intercept and trend coefficient, c0 and c1, to the parameter vector ......
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...However, as in the test for a unit root proposed by Dickey and Fuller (1979) compared with that of Dickey and Fuller (1981) for univariate models, estimation and hypothesis testing in Cases III and V proceed ignoring the constraints linking respectively the intercept and trend coefficient, c0 and…...
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References
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