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Thesis

Adjusted profile likelihood applied to estimation and testing of unit roots

Abstract:

A short review of unit-root econometrics is given from the point of view of testing. The adjusted likelihoods of Cox and Reid (1987, 1993) are presented and applied to the usual AR(1) with constant, an AR(1) process suggested by Bhargava (1986), and an AR(2) process. Biases of the associated maximum-likelihood estimates (MLEs) are pondered briefly. A Wald statistic based on adjusted profile likelihood is proposed.

The Cox-Reid adjusted estimate (AE) for the autoregressive coefficie...

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Institution:
University of Oxford
Department:
Faculty of Social Studies
Role:
Author
Publication date:
1997
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
University of Oxford
Barcode:
602335647
URN:
uuid:d90da262-5a4b-4114-9426-cbecb1413a30
Local pid:
td:602335647
Language:
English
Subjects:

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