Normal tests for unit roots based on instrumental variable estimators

Dong Wan Shin, Beong Soo So

Research output: Contribution to journalArticlepeer-review

2 Scopus citations


For estimating unit roots of autoregressive processes, we introduce a new instrumental variable (IV) method which discounts large values of regressors corresponding to the unit roots. Based on the IV estimator, we propose new unit root tests whose limiting null distributions are standard normal. Observation at time t is adjusted for mean recursively by the sample mean of observations up to the time t. The powers of the proposed tests are better than those of the Dickey-Fuller tests and are comparable to those of the tests based on the weighted symmetric estimator, which are known to have the best power against stationary alternatives.

Original languageEnglish
Pages (from-to)123-132
Number of pages10
Issue number2
StatePublished - Apr 2004

Bibliographical note

Funding Information:
The first author was supported by Korea Research Foundation grant KRF-2002-070-C0001. The second author was supported by KOSEF through the Statistical Research Center for Complex System at Seoul National University.


  • Confidence interval
  • Instrumental variable estimation
  • M-estimation
  • Normal test
  • Recursive mean adjustment
  • Unit root test


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