In this paper, we intend to develop a new unit root testing procedure. The novelty of this methodology includes (1) accommodating possible trend breaks of unknown number, unknown dates, and unknown form by employing the Fourier form without directly estimating such breaks; (2) considering...

This paper investigates the stationarity properties of international inflation rates by bootstrapping two stationarity tests with covariates in Jansson (2004). When the asymptotic critical values are used, the two powerful tests are found to reject the null hypothesis less in the presence of a...

This study examines whether mean reversion in REIT prices presents an asymmetric behavior across various quantiles. Distinguished from previous literature that applied the traditional linear unit-root test, a state-of-the-art quantile unit-root test is employed to identify financial asset...

Nonlinear behavior of unemployment is well documented in the literature, and thus linear unit root tests may not be appropriate in this case. This paper tests for hysteresis of unemployment for 29 OECD countries through the use of a new nonlinear panel unit root test developed by Ucar and Omay...

This paper proposes a new procedure for testing the unit root null against stationary but nonlinear alternatives. This test can be viewed as a generalization of the one developed by Kapetanios et al. (2003) (the KSS test) by incorporating stationary covariates. The asymptotic distribution of the...