The size distortion of the Dickey-Fuller (Journal of the American Statistical Association, 74, pp. 427-31, 1979) unit root test is examined in the presence of structural changes in both the level and variance of integrated time series. In contrast to previous studies, the empirically relevant...

Cook et al. (1998) have recently proposed the hypothesis of a positive relationship between the durability of consumers' expenditure and the asymmetric behaviour it exhibits. Some support was found for this hypothesis via the application of Sichel's (1993) univariate tests of business cycle...

Recent developments in the analysis of cointegration in the presence of asymmetric adjustment are extended and applied to data on regional house prices in the UK. This extension is found to have a dramatic impact upon the results derived. In contrast to recent studies employing standard methods,...

In recent research, Elliott et al. (1996) have shown the use of local-to-unity detrending via generalized least squares (GLS) to substantially increase the power of the Dickey-Fuller (1979) unit root test. In this paper the relationship between the extent of detrending undertaken, determined by...

Following Dickey & Fuller (1979) (DF), a stylized approach to the testing of the unit root hypothesis has emerged. Based upon the combined use of the DF test in its augmented t -ratio form and MacKinnon (1991) critical values, the approach has received widespread adoption due to the ease with...

In previous research it has been shown that while the Dickey--Fuller unit root test exhibits oversizing in the presence of GARCH, this is reduced via the application of White's heteroscedasticity-consistent covariance matrix (HCCM). These findings provide the motivation for the present study. It...

A positive view of data-mining has been recently presented in a Journal of Economic Methodology ( JEM ) symposium. This is in stark contrast to the stance normally taken. In this note consideration of the Bayesian philosophy of science literature and the impact of data revision extends the...

The research of Leybourne and Newbold (2003) is extended to examine the finite-sample size of the weighted symmetric cointegration test when applied to independent unit root processes subject to structural change. The results obtained show the weighted symmetric cointegration test to be more...

While there is disagreement concerning the integrated nature of US Gross domestic product (GDP) over the long-run, there is a consensus that it is best characterized as I(1) over the post-World War II period. In this article the existing literature is extended via the use of an exponential...

The research of Kim and Schmidt (J. Economet., 1993, 59, 287-300) is extended to examine the properties of modified Dickey-Fuller unit root tests in the presence of generalized autoregressive conditional heteroskedasticity (GARCH). Using Monte Carlo simulation, the properties of the tests are...