GLS detrending and unit root testing

This paper simulates power of unit root tests based on alternative procedures for undertaking GLS detrending in a linear trend model. Many of the proposed methods produce improvements (over the original approach) for small samples and autoregressive parameter near unity.

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Bibliographic Details
Published in:Economics letters 2007-12, Vol.97 (3), p.222-229
Main Author: Vougas, Dimitrios V.
Format: Article
Language:English
Subjects:
Autoregressive estimator
Econometrics
GLS detrending
Hypothesis
Panel data
Power
Simulation techniques
Statistical methods
Unit root test
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Description
Summary:This paper simulates power of unit root tests based on alternative procedures for undertaking GLS detrending in a linear trend model. Many of the proposed methods produce improvements (over the original approach) for small samples and autoregressive parameter near unity.
ISSN:0165-1765
1873-7374
DOI:10.1016/j.econlet.2007.03.016