On the Importance of the First Observation in GLS Detrending in Unit Root Testing
研究了在单位根检验中使用广义最小二乘法去趋势时，如何处理第一个观测值对检验性能至关重要，忽略它会导致检验失效。
Abstract First‐differencing is generally taken to imply the loss of one observation, the first, or at least that the effect of ignoring this observation is asymptotically negligible. However, this is not always true, as in the case of generalized least squares (GLS) detrending. In order to illustrate this, the current article considers as an example the use of GLS detrended data when testing for a unit root. The results show that the treatment of the first observation is absolutely crucial for test performance, and that ignorance causes test break‐down.