Jansson, Michael; Nielsen, Morten Ørregaard - 2009
-)likelihood ratio interpretation. We
show that the likelihood ratio unit root test derived in a Gaussian AR(1) model
with standard … ratio unit root test derived in this model and show that
it is nearly e� cient. Moreover, these desirable properties are … ratio unit root test derived in a
Gaussian AR(1) model with standard normal innovations is nearly e� cient in that
model …