Properties of recursive trend-adjusted unit root tests
Rodrigues, P.M.M.
,
(2006)
,
"Properties of recursive trend-adjusted unit root tests"
,
Economics Letters
,
91
,
413-419
.
CEFAGE Author(s)
Paulo Manuel Marques Rodrigues
Abstract
This paper shows that OLS-based recursive trend adjustment can produce unit root tests which are not invariant when the DGP is a random walk with drift and investigates size and power performance of invariant versions of the procedures.