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Recursive mean adjustment and tests for nonstationarities

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  • Shin, Dong Wan
  • So, Beong Soo

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  • Shin, Dong Wan & So, Beong Soo, 2002. "Recursive mean adjustment and tests for nonstationarities," Economics Letters, Elsevier, vol. 75(2), pages 203-208, April.
    • Handle: RePEc:eee:ecolet:v:75:y:2002:i:2:p:203-208
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    References listed on IDEAS

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    1. So, Beong Soo & Shin, Dong Wan, 1999. "Recursive mean adjustment in time-series inferences," Statistics & Probability Letters, Elsevier, vol. 43(1), pages 65-73, May.
    2. Shin, Dong Wan & Lee, Oesook, 2001. "Tests for Asymmetry in Possibly Nonstationary Time Series Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 233-244, April.
    3. Sen, D L & Dickey, David A, 1987. "Symmetric Test for Second Differencing in Univariate Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 463-473, October.
    4. Shin, Dong Wan & So, Beong Soo, 2000. "Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments," Journal of Econometrics, Elsevier, vol. 99(1), pages 107-137, November.
    5. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
    6. Mehmet Caner & Bruce E. Hansen, 2001. "Threshold Autoregression with a Unit Root," Econometrica, Econometric Society, vol. 69(6), pages 1555-1596, November.
    7. Pantula, Sastry G & Gonzalez-Farias, Graciela & Fuller, Wayne A, 1994. "A Comparison of Unit-Root Test Criteria," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 449-459, October.
    8. Hwang, Jaeyoun & Schmidt, Peter, 1996. "Alternative methods of detrending and the power of unit root tests," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 227-248.
    9. Shin, Dong Wan & Kim, Hyun Jung, 1999. "Semiparametric Tests for Double Unit Roots Based on Symmetric Estimators," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 67-73, January.
    10. Enders, Walter & Granger, Clive W J, 1998. "Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 304-311, July.
    11. Haldrup, Niels, 1994. "Semiparametric Tests for Double Unit Roots," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(1), pages 109-122, January.
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    Cited by:

    1. Joakim Westerlund, 2016. "An IV Test for a Unit Root in Generally Trending and Correlated Panels," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(5), pages 752-764, October.
    2. Kerry Patterson & Michael A. Thornton, 2013. "A review of econometric concepts and methods for empirical macroeconomics," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 2, pages 4-42, Edward Elgar Publishing.
    3. Paulo M. M. Rodrigues, 2013. "Recursive adjustment, unit root tests and structural breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(1), pages 62-82, January.
    4. Shin, Dong Wan & Kang, Seungho & Oh, Man-Suk, 2004. "Recursive mean adjustment for panel unit root tests," Economics Letters, Elsevier, vol. 84(3), pages 433-439, September.
    5. Wang, Shaoping & Li, Yanglin & Wen, Kuangyu, 2021. "Recursive adjusted unit root tests under non-stationary volatility," Economics Letters, Elsevier, vol. 205(C).
    6. Shin, Dong Wan & Kang, Seungho, 2006. "An instrumental variable approach for panel unit root tests under cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 134(1), pages 215-234, September.
    7. Kuzin, Vladimir, 2005. "Recursive demeaning and deterministic seasonality," Statistics & Probability Letters, Elsevier, vol. 72(3), pages 195-204, May.
    8. Matei Demetrescu, 2010. "On the Dickey–Fuller test with White standard errors," Statistical Papers, Springer, vol. 51(1), pages 11-25, January.
    9. Chi‐Young Choi & Nelson C. Mark & Donggyu Sul, 2010. "Bias Reduction in Dynamic Panel Data Models by Common Recursive Mean Adjustment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(5), pages 567-599, October.
    10. Rodrigues, Paulo M.M., 2006. "Properties of recursive trend-adjusted unit root tests," Economics Letters, Elsevier, vol. 91(3), pages 413-419, June.

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