Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures

C-Tier
Journal: Economics Letters
Year: 2013
Volume: 120
Issue: 2
Pages: 195-199

Authors (4)

Meng, Ming (not in RePEc) Lee, Hyejin (not in RePEc) Cho, Myeong Hyeon (not in RePEc) Lee, Junsoo (University of Alabama-Tuscaloo...)

Score contribution per author:

0.251 = (α=2.01 / 4 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

The use of recursive demeaning and detrending procedures in unit root tests has been popular in the literature, since they lead to more precise estimation of the persistence parameter and greater power in unit root tests. However, we find that unit root tests using these recursive procedures tend to lose power significantly when the initial value is very large.

Technical Details

RePEc Handle
repec:eee:ecolet:v:120:y:2013:i:2:p:195-199
Journal Field
General
Author Count
4
Added to Database
2026-01-25