Recursive mean adjustment for unit root tests

Dong Wan Shin, Beong Soo So

Research output: Contribution to journalArticlepeer-review

76 Scopus citations


For unit root tests, we propose a new mean adjustment scheme, called recursive mean adjustment. For adjusting the mean of an observation at a time t, instead of the global sample mean, we use the recursive sample mean which is the sample mean of the observations up to the time t. The approach is simple and can be applied to a wide class of unit root tests. The recursive mean adjustment gives us tests with substantially higher powers compared with the tests based on the ordinary mean adjustment.

Original languageEnglish
Pages (from-to)595-612
Number of pages18
JournalJournal of Time Series Analysis
Issue number5
StatePublished - Sep 2001


  • Power
  • Recursive residual
  • Unit root


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