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http://dx.doi.org/10.5351/KJAS.2021.34.2.205

Determining the existence of unit roots based on detrended data  

Na, Okyoung (Department of Applied Statistics, Kyonggi University)
Publication Information
The Korean Journal of Applied Statistics / v.34, no.2, 2021 , pp. 205-223 More about this Journal
Abstract
In this paper, we study a method to determine the existence of unit roots by using the adaptive lasso. The previously proposed method that applied the adaptive lasso to the original time series has low power when there is an unknown trend. Therefore, we propose a modified version that fits the ADF regression model without deterministic component using the adaptive lasso to the detrended series instead of the original series. Our Monte Carlo simulation experiments show that the modified method improves the power over the original method and works well in large samples.
Keywords
unit root test; adaptive lasso; detrending;
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