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.
Bibliographical noteFunding Information:
This research is supported by a grant from Korea Research Foundation (Grant # KRF-2003-042-C00016).
All Science Journal Classification (ASJC) codes
- Economics and Econometrics