Recursive mean adjustment for unit root tests
This paper deals with the model \(y_{t}-\mu=\rho(y_{t-1}-\mu)+u_{t}\), where \(y_{t},\;t=1,2,\ldots,n\), are observations, \(u_{t}\) is a stationary zero mean process, and \(\rho, \mu\) are unknown parameters. The main goal of the paper is to improve the power of tests for the unit root hypothesis \(H_0:\rho=1\). For constructing unit root tests the authors propose to use the recursively adjusted observations \(y_{t}-\bar y_{t}\), where \(\bar y_{t}=t^{-1}\sum_{i=1}^{t}y_{i}\). The cases when \(u_{t}=e_{t}\), where \(e_{t}\) are i.i.d. errors having zero mean and finite variance; \(u_{t}=\sum_{i=1}^{p-1}\theta_{i}z_{t-i}+e_{t}\), where \(z_{t}=y_{t}-y_{t-1}, e_{t}\) are i.i.d. errors and \((\theta_1,\ldots,\theta_{p-1})\) is a vector of unknown coefficients; and \(u_{t}\) are errors of strong mixing; are considered. The Monte Carlo experiments show power improvements of recursively mean-adjusted tests over the tests based on the ordinary mean adjustment.
- Unit root tests based on IV estimators for time series with multiple breaks
- Panel unit root tests under cross section dependence with recursive mean adjustment
- Recursive mean adjustment in time-series inferences
- Modified unit root tests and momentum threshold autoregressive processes.
- Finite-sample properties of modified unit root tests in the presence of structural change.
- Stationary bootstrapping for semiparametric panel unit root tests
- A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility
- Recursive adjustment for general deterministic components and improved cointegration rank tests
- Recursive demeaning and deterministic seasonality
- An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models.
- A momentum-threshold autoregressive unit root test with increased power
- Size and power properties of powerful unit root tests in the presence of variance breaks
- Correcting size distortion of the Dickey--Fuller test via recursive mean adjustment.
- Performance of nonlinear instrumental variable unit root tests using recursive detrending methods
- Recursive mean adjustment for panel unit root tests
- Comparison of panel unit root tests under cross sectional dependence
- Properties of recursive trend-adjusted unit root tests
- Unit root tests for cross-sectionally dependent seasonal panels
- Recursive adjusted unit root tests under non-stationary volatility
- Residual-augmented IVX predictive regression
- Lag truncation and the local asymptotic distribution of the ADF test for a unit root
- 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
- Robust panel unit root tests for cross-sectionally dependent multiple time series
- Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues
- Using panel data to increase the power of modified unit root tests in the presence of structural breaks
- A sign test for unit roots in a momentum threshold autoregressive process
- Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
- An instrumental variable approach for panel unit root tests under cross-sectional dependence
- Asymmetry and nonstationarity for a seasonal time series model
- The power of unit root tests against nonlinear local alternatives
- Recursive adjustment, unit root tests and structural breaks
- On the oversized problem of Dickey-Fuller-type tests with GARCH errors
- The Disappointing Properties of GLS-Based Unit Root Tests in the Presence of Structural Breaks
- Double unit root tests for cross-sectionally dependent panel data
- Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples
- The robustness of modified unit root tests in the presence of GARCH
- Finite-sample distribution of a recursively mean-adjusted panel data unit root test
- Bias Reduction through First-order Mean Correction, Bootstrapping and Recursive Mean Adjustment
- Maximum Likelihood Unit Root Testing in the Presence of GARCH: A New Test with Increased Power
- On the Dickey-Fuller test with white standard errors
- Finite-sample size control of IVX-based tests in predictive regressions
- Detrending bootstrap unit root tests
- The sensitivity of unit root tests to the initial condition and to the lag length selection: A Monte Carlo Simulation Study
- Tests for seasonal unit roots in panels of cross-sectionally correlated time series
- scientific article; zbMATH DE number 5238871 (Why is no real title available?)
- Examination of Some More Powerful Modifications of the Dickey–Fuller Test
- Unobserved heterogeneity in Markovian analysis of the size distortion of unit root tests
- Double filter instrumental variable estimation of panel data models with weakly exogenous variables
- Heteroskedasticity robust panel unit root testing under variance breaks in pooled regressions
- Robust inference for near-unit root processes with time-varying error variances
- An invariant sign test for random walks based on recursive median adjustment
- Recursive mean adjustment and tests for nonstationarities
- Unit root tests for panel MTAR model with cross-sectionally dependent error
- Unit root testing
- A robust sign test for panel unit roots under cross sectional dependence
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