Recent approaches in unit root testing have taken into account the influences of initial condition, trend, and breaks in data using pre-testing and union of rejection testing strategies based on obtained information. This paper proposes an extension of the Harvey et al. (2012b) approach to...

Recent approaches in unit root testing have taken into account the influences of initial condition, trend, and breaks in data using pre-testing and union of rejection testing strategies based on obtained information. This paper proposes an extension of the Harvey et al. (2012b) approach to...

Recent approaches to testing for a unit root when uncertainty exists over the presence and timing of a trend break employ break detection methods, so that a with-break unit root test is used only if a break is detected by some auxiliary statistic. While these methods achieve near asymptotic...

This paper develops a new approach to the problem of testing the existence of a long-run level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend- or first-difference stationary. The proposed tests...

Recent approaches to testing for a unit root when uncertainty exists over the presence and timing of a trend break employ break detection methods, so that a with-break unit root test is used only if a break is detected by some auxiliary statistic. While these methods achieve near asymptotic...

It is well known that it is vital to account for trend breaks when testing for a unit root. In practice, uncertainty exists over whether or not a trend break is present and, if it is, where it is located. Harris et al. (2009) and Carrion-i-Silvestre et al. (2009) propose procedures which account...

This paper examines the behaviour of some recently proposed robust (to the order of integration of the data) tests for the presence of a deterministic linear trend in a univariate times series in situations where the magnitude of the initial condition of the series is non-negligible. We...

Many economic events involve initial observations that substantially deviate from long-run steady state. Initial conditions of this type have been found to impact diversely on the power of univariate unit root tests, whereas the impact on multivariate tests is largely unknown. This paper...