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Recursive mean adjustment for unit root tests

Title
Recursive mean adjustment for unit root tests
Authors
Shin, DWSo, BS
Ewha Authors
소병수
SCOPUS Author ID
소병수scopus
Issue Date
2001
Journal Title
JOURNAL OF TIME SERIES ANALYSIS
ISSN
0143-9782JCR Link
Citation
vol. 22, no. 5, pp. 595 - 612
Keywords
powerrecursive rcsidualunit root
Publisher
BLACKWELL PUBL LTD
Indexed
SCI; SCIE; SCOPUS WOS
Abstract
For unit root tests, we propose a new mean adjustment scheme, called recursive mean adjustment. For adjusting the mean of an observation at a time t, instead of the global sample mean, we use the recursive sample mean which is the sample mean of the observations up to the time t. The approach is simple and can be applied to a wide class of unit root tests. The recursive mean adjustment gives us tests with substantially higher powers compared with the tests based on the ordinary mean adjustment.
DOI
10.1111/1467-9892.00243
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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