Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures

The use of recursive demeaning and detrending procedures in unit root tests has been popular in the literature, since they lead to more precise estimation of the persistence parameter and greater power in unit root tests. However, we find that unit root tests using these recursive procedures tend to lose power significantly when the initial value is very large. •Recursive demeaning/detrending procedures have been very popular in the literature.•The effect of the initial observation on recursive methods has not been addressed.•The unit root tests using recursive methods lose power as the initial value gets large.•The situation is similar to the DF-GLS type tests.