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 investigate the behavior of stationarity tests proposed by Muller (2005) and Harris et al. (2007) with uncertainty over the trend and/or initial condition. As for different magnitudes of local trend and initial value different tests are efficient, we propose following Harvey et...

Many key variables in finance, economics and risk management, including financial returns and foreign exchange rates, exhibit nonlinear dependence, heterogeneity and heavy-tailedness of some usually largely unknown type.The presence of non-linear dependence (usually modelled using GARCH-type...