In this paper, we suggest a new set of regression-based statistics for testing the seasonal unit root null hypothesis. These tests are based on combining conventional Hylleberg et al. (1990) -type seasonal unit root test statistics calculated from both forward and reverse estimation of the...

Using standardized cumulative sums of squared sub-sample residuals, we propose a new ratio-based test of the null hypothesis that a time series exhibits no change in its persistence structure [specifically that it displays constant I(1) behaviour] against the alternative of a change in...

This article examines the behaviour of some recently proposed 'robust' (to the order of integration of the data) tests for the presence of a deterministic linear trend in a univariate times series in situations where the magnitude of the initial condition of the series is non-negligible. We...

We discuss the estimation of the order of integration of a fractional process that may be contaminated by a time-varying deterministic trend or by a break in the mean. We show that in some cases the estimate may still be consistent and asymptotically normally distributed even when the order of...