Being able to correctly characterise an observed time series into its separate difference stationary and trend stationary regimes, should they exist, has important implications for effective model building and forecasting in economics and finance. Existing ratio-based statistics test the null...

In this paper, starting from continuous-time local level unobserved components models for stock and flow data we derive locally best invariant (LBI) stationarity tests for data available at potentially irregularly spaced points in time. We demonstrate that the form of the LBI test differs...

This paper proposes bootstrap versions of the seasonal unit root tests of, inter alia, Hylleberg, Engle, Granger and Yoo (1990,Journal of Econometrics 55, 305-328)[HEGY]. We report a simulation study of the properties of both the conventional and bootstrapped seasonal unit root tests when...