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recursive Mean Adjustment for Unit Root Tests

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  • Dong Wan Shin
  • Beong Soo So

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.

Suggested Citation

  • Dong Wan Shin & Beong Soo So, 2001. "recursive Mean Adjustment for Unit Root Tests," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(5), pages 595-612, September.
    • Handle: RePEc:bla:jtsera:v:22:y:2001:i:5:p:595-612
    DOI: 10.1111/1467-9892.00243
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