In this paper I propose a Likelihood Ratio test for a unit root (LR) with a local-to-unity Autoregressive parameter embedded in ARMA(1,1) models. By dealing explicitly with dependence in a time series through the Moving Average, as opposed to the long Autorregresive lag approximation, the test...

This paper proposes t-like unit root tests which are consistent against any stationary alternatives, nonlinear or noncausal ones included. It departs from existing tests in that it uses an unbounded grid set including all possible values taken by the series. In our setup, thanks to the very...

This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these tables are necessarily based on computer simulations, they are much more accurate than those previously available. The results of the simulation experiments are summarized by...

This paper investigates the stationarity of the Federal Funds Rate. It contributes to the existing empirical literature in two ways. First, it explores both the presence of unit root and structural changes in the federal funds rate monthly data, by allowing for interaction between these two...

This paper proposes a bootstrap unit root test in models with GARCH(1,1) errors and establishes its asymptotic validity under mild moment and distributional restrictions. While the proposed bootstrap test for a unit root shares the power enhancing properties of its asymptotic counterpart (Ling...

The asymptotic distributions of the maximum likelihood estimator of the persistence parameter are developed in a linear diffusion model under three sampling schemes, long-span, in-fill and double. Simulations suggest that the in-fill asymptotic distribution gives a more accurate approximation to...

Mixed results for unemployment dynamics are reported in many studies using linear or non-linear unit root tests. A possible explanation is that the literature focuses on the average behavior of unemployment and assumes that the speed of adjustment towards its long-run equilibrium is constant,...

Trend breaks appear to be prevalent in macroeconomic time series, and unit root tests therefore need to make allowance for these if they are to avoid the serious effects that unmodelled trend breaks have on power. Carrion-i-Silvestre et al. (2009) propose a pre-test-based approach which...

Recent approaches to testing for a unit root when uncertainty exists over the presence and timing of a trend break employ break detection methods, so that a with-break unit root test is used only if a break is detected by some auxiliary statistic. While these methods achieve near asymptotic...