In a recently publicized study, Harvey et al. (2012) investigated procedures for unit root testing employing break detection methods under local break in trend. We apply this methodology to analyze asymptotic and unite sample behavior of procedures under local break to test the stationarity null...

In this paperwe investigate the behavior of stationarity tests proposed by Muller (2005) and Harris et al. (2007) with uncertainty over the trend and/or initial condition. As dierent tests are e cient for dierent magnitudes of local trend and initial condition, following Harvey et al. (2012) we...