Recursive mean adjustment and tests for nonstationarities
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Recommendations
Cites work
- Alternative methods of detrending and the power of unit root tests
- Efficient Tests for an Autoregressive Unit Root
- Estimation for autoregressive processes with unit roots
- Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
- Recursive mean adjustment for unit root tests
- Recursive mean adjustment in time-series inferences
- Threshold Autoregression with a Unit Root
Cited in
(12)- Recursive mean adjustment in time-series inferences
- Recursive adjustment for general deterministic components and improved cointegration rank tests
- Recursive demeaning and deterministic seasonality
- Correcting size distortion of the Dickey--Fuller test via recursive mean adjustment.
- Recursive mean adjustment for panel unit root tests
- Properties of recursive trend-adjusted unit root tests
- Recursive adjusted unit root tests under non-stationary volatility
- Recursive mean adjustment for unit root tests
- An instrumental variable approach for panel unit root tests under cross-sectional dependence
- Recursive adjustment, unit root tests and structural breaks
- Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples
- On the Dickey-Fuller test with white standard errors
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