Many key macro-economic and financial variables are characterised by permanent changes in unconditional volatility. In this paper we analyse vector autoregressions with non-stationary (unconditional) volatility of a very general form, which includes single and multiple volatility breaks as...

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...

In this paper we develop new persistence change tests, similar in spirit to those of Kim (2000), Kim et al. (2002) and Busetti and Taylor (2004). While the exisiting tests are based on the maximum over an appropriate sequence of ratios of sub-sample stationarity statistics, our proposed tests...

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...

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...

In the context of regression-based (quarterly) seasonal unit root tests, we examine the impact of initial conditions (one for each quarter) of the process on test power. We investigate the behaviour of the well-known OLS detrended HEGY seasonal unit root tests together with their...

We show that the minimal forward (reverse) recursive unit tests of Banerjee, Lumsdaine and Stock ["Journal of Business and Economics Statistics" (1992) Vol. 10, pp. 271-288] are consistent against the alternative of a change in persistence from "I"(0) to "I"(1) ["I"(1) to "I"(0)]. However, these...

In practice a degree of uncertainty will always exist concerning what specification to adopt for the deterministic trend function when running unit root tests. While most macroeconomic time series appear to display an underlying trend, it is often far from clear whether this component is best...