Sign tests for unit root and change in persistence

The behaviour of unit root tests defined in terms of sign transform is here analysed. The sign transform allows us to gain robustness to non-normality. Contrarily to the standard unit root tests, our results show that these tests are very reliable in the presence of breaks, provided there is no change in the persistence of a series. In case of change in persistence, the paper proposes to compare sign-based test functions separately computed before and after the change point. A statistically significant difference would signal the presence of change in persistence. An example and a Monte Carlo study conclude the analysis.