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 .
Autor(es) CEFAGE
Paulo Manuel Marques Rodrigues
Resumo

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.

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