Empirical evidence on the robustness of the weighted symmetric unit root test

Recent research has shown the Dickey-Fuller (Econometrica, 49, pp. 1057-72, 1979) test to suffer severe size distortion in the presence of structural breaks under the unit root null hypothesis. In contrast, further theoretical results have suggested the weighted symmetric Dickey-Fuller test to be robust to such breaks. In this study, the empirical results of the seminal study of Leybourne et al. (Journal of Econometrics, 87, pp. 191-203, 1998) are revisited to provide an empirical illustration of the robustness of the weighted symmetric Dickey-Fuller test to structural breaks.