{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,6,1]],"date-time":"2026-06-01T17:12:31Z","timestamp":1780333951442,"version":"3.54.1"},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"6","license":[{"start":{"date-parts":[[2001,12,1]],"date-time":"2001-12-01T00:00:00Z","timestamp":1007164800000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2001,12]]},"abstract":"<jats:p>This paper studies likelihood-based estimation and tests for \nautoregressive time series models with deterministic trends and \ngeneral disturbance distributions. In particular, a joint estimation \nof the trend coefficients and the autoregressive parameter is \nconsidered. Asymptotic analysis on the <jats:italic>M<\/jats:italic>-estimators is \nprovided. It is shown that the limiting distributions of these \nestimators involve nonlinear equation systems of Brownian motions \neven for the simple case of least squares regression. Unit root \ntests based on <jats:italic>M<\/jats:italic>-estimation are also considered, and \nextensions of the Neyman\u2013Pearson test are studied. The finite \nsample performance of these estimators and testing procedures is \nexamined by Monte Carlo experiments.<\/jats:p>","DOI":"10.1017\/s0266466601176036","type":"journal-article","created":{"date-parts":[[2019,9,2]],"date-time":"2019-09-02T16:16:40Z","timestamp":1567441000000},"page":"1082-1112","source":"Crossref","is-referenced-by-count":10,"title":["LIKELIHOOD-BASED INFERENCE IN TRENDING TIME SERIES WITH A \nROOT NEAR UNITY"],"prefix":"10.1017","volume":"17","author":[{"given":"Zhijie","family":"Xiao","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2001,12,1]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466601176036","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,9,2]],"date-time":"2019-09-02T16:16:41Z","timestamp":1567441001000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466601176036\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2001,12]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2001,12]]}},"alternative-id":["S0266466601176036"],"URL":"https:\/\/doi.org\/10.1017\/s0266466601176036","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2001,12]]}}}