recursive Mean Adjustment for Unit Root Tests

By D. Shin, B. So. 2001

101 citations recorded by the source corpus.

Subfields: Control and Systems Engineering, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/bc9585ac47ba5362de580318da1625b7950856a9

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Statistics and Probability

1. S. Leybourne
2. P. Newbold
3. Tae-Hwan Kim
4. Stephan Popp
5. Giuseppe Cavaliere
6. David I. Harvey
7. Pierre Perron

Citations in the corpus

• Examination of Some More Powerful Modifications of the Dickey–Fuller Test (2005, background): “This concurs with Shin and So (2001) who also found that hybrid tests which applied their form of recursive demeaning to near-optimal tests yielded no finite sample power gains.”
• Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors (2015, unknown): “(12)Shin and So (2001) implement recursive mean adjustment for unit root tests in a slightly different way . Recursive mean adjustment has been used in several papers in the literature, including Shin, Kang, and Oh (2004), Sul (2009) and Choi, Mark, and Sul (2010).”