There is some tendency towards inflated sizes under near-unit-root processes when an intercept is included in the model, but the extent of this is quite limited (7% simulated size). The key consequence of this result is that it is not necessary to know a priori where the autoregressive ...
There is some tendency towards inflated sizes under near-unit-root processes when an intercept is included in the model, but the extent of this is quite limited (7% simulated size). The key consequence of this result is that it is not necessary to know a priori where the autoregressive ...