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Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures
- Authors
- Meng, Ming; Lee, Hyejin; Cho, Myeong Hyeon; Lee, Junsoo
- Issue Date
- 8월-2013
- Publisher
- ELSEVIER SCIENCE SA
- Keywords
- Initial condition; Recursive demeaning; Recursive detrending; Unit root tests
- Citation
- ECONOMICS LETTERS, v.120, no.2, pp.195 - 199
- Indexed
- SSCI
SCOPUS
- Journal Title
- ECONOMICS LETTERS
- Volume
- 120
- Number
- 2
- Start Page
- 195
- End Page
- 199
- ISSN
- 0165-1765
- 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. (C) 2013 Elsevier B.V. All rights reserved.
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