Properties of recursive trend-adjusted unit root tests

DOI10.1016/j.econlet.2005.12.026zbMath1254.91618MaRDI 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

invariance; unit root tests; recursive trend adjustment

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B84: Economic time series analysis

91B82: Statistical methods; economic indices and measures

Related Items

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

Cites Work

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