Adjustment of the profile likelihood for a class of normal regression models

We apply the method of McCullagh & Tibshirani (1990) to a generalization of the model for variance components in which the parameter of interest can appear in both the mean and variance. We obtain the exact adjusted profile log-likelihood score function. For the variance components model, we obtain the adjusted profile log-likelihood and show that it equals the restricted log-likelihood of Patterson & Thompson (1971). We discuss an example due to Kempton (1982) of a regression model with autoregressive terms in which the parameter of interest appears in both the mean and variance.