Recent approaches in unit root testing that take into account the influences of the initial condition, trend, and breaks in the data using pre-testing and performing the union of rejection testing strategies based on the information obtained. This allows for the use of more powerful tests, if...

In a recently publicized study, Harvey et al. (2012) investigated procedures for unit root testing employing break detection methods under local break in trend. We apply this methodology to analyze asymptotic and nite sample behavior of procedures under local break to test the stationarity null...

In this paper we extend the stationarity test proposed by Kurozumi and Tanaka (2010) for reducing size distortion with one structural break. We fi nd the bias up to the order of 1=T for four types of models containing structural breaks. The simulations on finite samples show a reducing of size...

This paper provides a simple approach for robust testing for the trend function in the time series under uncertainty over the order of integration of the error term. The proposed approach relies on the asymptotic normality of the trend coefficient estimator and utilises t-statistic approach of...

In this paper a modification of the Busetti and Harvey (2001) test with structural break at unknown time is proposed. As the stationarity test with a super-consistent break date estimator is effective under large breaks and the infimum-test is effective under small breaks, although it has...

This paper is devoted to fiscal shock identification based on the assumption of nonGaussianity of the errors, which can be easily tested. We use additional co-kurtosis conditions in GMM estimation of the AB-model to estimate the dynamic effects of fiscal shocks and find fiscal multipliers in the...

This paper is devoted to testing for the explosive bubble under time-varying non-stationary volatility. Because the limiting distribution of the seminal Phillips et al. (2011) test depends on the variance function and usually requires a bootstrap implementation under heteroskedasticity, we...

This review discusses methods of testing for explosive bubbles in a time series. A large number of recently developed testing methods under various assumptions about innovations of the errors are covered. The review also considers the methods for dating the explosive (bubble) regimes. Special...