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recursive Mean Adjustment for Unit Root Tests
Author(s) -
Shin Dong Wan,
So Beong Soo
Publication year - 2001
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/1467-9892.00243
Subject(s) - mathematics , unit root , statistics , sample mean and sample covariance , sample (material) , chemistry , chromatography , estimator
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.