Recursive mean adjustment for panel unit root tests

Dong Wan Shin; Seungho Kang; Man Suk Oh

doi:10.1016/j.econlet.2004.03.014

Recursive mean adjustment for panel unit root tests

Dong Wan Shin, Seungho Kang, Man Suk Oh

Department of Applied Statistics

Research output: Contribution to journal › Article › peer-review

8 Citations (Scopus)

Abstract

Recursive mean adjustment is applied for the t-bar test for panel unit roots. A Monte-Carlo experiment shows that the recursively mean adjusted test has substantially greater power than the ordinarily mean adjusted test.

Original language	English
Pages (from-to)	433-439
Number of pages	7
Journal	Economics Letters
Volume	84
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2004.03.014
Publication status	Published - 2004 Sept

Bibliographical note

Funding Information:
This research is supported by a grant from Korea Research Foundation (Grant # KRF-2003-042-C00016).

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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10.1016/j.econlet.2004.03.014

Cite this

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title = "Recursive mean adjustment for panel unit root tests",

abstract = "Recursive mean adjustment is applied for the t-bar test for panel unit roots. A Monte-Carlo experiment shows that the recursively mean adjusted test has substantially greater power than the ordinarily mean adjusted test.",

author = "Shin, {Dong Wan} and Seungho Kang and Oh, {Man Suk}",

note = "Funding Information: This research is supported by a grant from Korea Research Foundation (Grant # KRF-2003-042-C00016).",

year = "2004",

month = sep,

doi = "10.1016/j.econlet.2004.03.014",

language = "English",

volume = "84",

pages = "433--439",

journal = "Economics Letters",

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AU - Shin, Dong Wan

AU - Kang, Seungho

AU - Oh, Man Suk

N1 - Funding Information: This research is supported by a grant from Korea Research Foundation (Grant # KRF-2003-042-C00016).

PY - 2004/9

Y1 - 2004/9

N2 - Recursive mean adjustment is applied for the t-bar test for panel unit roots. A Monte-Carlo experiment shows that the recursively mean adjusted test has substantially greater power than the ordinarily mean adjusted test.

AB - Recursive mean adjustment is applied for the t-bar test for panel unit roots. A Monte-Carlo experiment shows that the recursively mean adjusted test has substantially greater power than the ordinarily mean adjusted test.

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U2 - 10.1016/j.econlet.2004.03.014

DO - 10.1016/j.econlet.2004.03.014

M3 - Article

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SN - 0165-1765

VL - 84

SP - 433

EP - 439

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

Recursive mean adjustment for panel unit root tests

Abstract

Bibliographical note

All Science Journal Classification (ASJC) codes

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