Properties of recursive trend-adjusted unit root tests

DOI10.1016/j.econlet.2005.12.026zbMath1254.91618OpenAlexW2150618453MaRDI QIDQ1929125

Paulo M. M. Rodrigues

Publication date: 7 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1814/2811

zbMATH Keywords

invarianceunit root testsrecursive trend adjustment

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (9)

Detrending Bootstrap Unit Root Tests ⋮ Performance of nonlinear instrumental variable unit root tests using recursive detrending methods ⋮ Recursive adjustment for general deterministic components and improved cointegration rank tests ⋮ On the Dickey-Fuller test with white standard errors ⋮ Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures ⋮ Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples ⋮ The power of unit root tests against nonlinear local alternatives ⋮ Recursive adjustment, unit root tests and structural breaks ⋮ The effect of recursive detrending on panel unit root tests

Cites Work

• Recursive mean adjustment in time-series inferences
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• Nonlinear instrumental variable estimation of an autoregression.
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• Correcting size distortion of the Dickey--Fuller test via recursive mean adjustment.
• recursive Mean Adjustment for Unit Root Tests
• An invariant sign test for random walks based on recursive median adjustment
• Recursive mean adjustment and tests for nonstationarities

This page was built for publication: Properties of recursive trend-adjusted unit root tests