We propose methods for constructing confidence sets for the timing of a break in level and/or trend that have asymptotically correct coverage for both I(0) and I(1) processes. These are based on inverting a sequence of tests for the break location, evaluated across all possible break dates. We...

Trend breaks appear to be prevalent in macroeconomic time series, and unit root tests therefore need to make allowance for these if they are to avoid the serious effects that unmodelled trend breaks have on power. Carrion-i-Silvestre et al. (2009) propose a pre-test-based approach which...

Harvey, Leybourne and Taylor [Harvey, D.I., Leybourne, S.J., Taylor, A.M.R. 2009. Simple, robust and powerful tests of the breaking trend hypothesis. Econometric Theory 25, 995–1029] develop a test for the presence of a broken linear trend at an unknown point in the sample whose size is...