GLS-detrending and Regime-wise Stationarity Testing in Small Samples
This paper proposes a version of the DF-GLS test that incorporates up to two breaks in the intercept, namely the DF-GLSTB test. While the asymptotic properties of the DF-GLS test remain valid, the presence of changes in the intercept has an impact on the small sample properties of the test. Hence, finite sample critical values for the DF-GLSTB test are tabulated while a Monte Carlo study highlights its enhanced power.