Adjusted profile likelihood applied to estimation and testing of unit roots

<p>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 associat...