recursive Mean Adjustment for Unit Root Tests

Dong Wan Shin · Beong Soo So

93 citations0/0 files storedJournal of Time Series Analysis

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Monetary Policy and Economic Impact Time Series Analysis and Forecasting Diverse Scientific and Economic Studies

Abstract

For unit root tests, we propose a new mean adjustment scheme, called recursive mean adjustment. For adjusting the mean of an observation at a time t, instead of the global sample mean, we use the recursive sample mean which is the sample mean of the observations up to the time t. The approach is simple and can be applied to a wide class of unit root tests. The recursive mean adjustment gives us tests with substantially higher powers compared with the tests based on the ordinary mean adjustment.

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2005Examination of Some More Powerful Modifications of the Dickey–Fuller Test 2001An invariant sign test for random walks based on recursive median adjustment 2013Detrending Bootstrap Unit Root Tests 2007Unit Root Testing 2006Properties of recursive trend-adjusted unit root tests 2003An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models 2003Examination of Some More Powerful Modifications of the Dickey-Fuller Test 2014Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions

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