Swensen, Anders Rygh - In: Econometric Theory 9 (1993) 04, pp. 659-667
In the AR(2) model, with a double root at unity, we consider the asymptotic distribution of the likelihood ratio with respect to a nearly nonstationary alternative. It is shown how the distribution can be represented as a Radon-Nikodym derivative of an Ito process with respect to Brownian...