We consider bivariate regressions of nonstationary fractionally integrated variables dominated by linear time trends. The asymptotic behaviour of the ordinary least square (OLS) estimators in this case allows limiting normality to arise at a faster rate of convergence than if the individual...

In this paper, several seasonal unit root tests are analysed in the context of structural breaks at known time and a new break corrected test is suggested. We show that the widely used HEGY test, as well as an LM variant thereof, are asymptotically robust to seasonal mean shifts of finite...