Properties of Recursive Trend-Adjusted Unit Root Tests

Paulo Rodrigues

No ECO2004/31, Economics Working Papers from European University Institute

Abstract: In this paper, we analyse the properties of recursive trend adjusted unit root tests. We show that OLS based recursive trend adjustment can produce unit root tests which are not invariant when the data is generated from a random walk with drift and investigate whether the power performance previously observed in the literature is maintained under invariant versions of the tests. A finite sample evaluation of the size and power of the invariant procedures is presented.

Keywords: Recursive Trend Adjustment; Unit root tests; Invariance (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2004
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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Journal Article: Properties of recursive trend-adjusted unit root tests (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:eui:euiwps:eco2004/31

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