Meng, Ming; Lee, Hyejin; Cho, Myeong Hyeon; Lee, Junsoo - In: Economics Letters 120 (2013) 2, pp. 195-199
The use of recursive demeaning and detrending procedures in unit root tests has been popular in the literature, since they lead to more precise estimation of the persistence parameter and greater power in unit root tests. However, we find that unit root tests using these recursive procedures...