Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5062831 | Economics Letters | 2006 | 7 Pages |
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.
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Paulo M.M. Rodrigues,