In this paper we develop a testing procedure for the presence of a deterministic linear trend in a univariate time series which is robust to whether the series is I(0) or I(1) and requires no knowledge of the form of weak dependence present in the data. Our approach is motivated by the testing...

In this paper we analyse the impact of non-stationary volatility on the recently developed unit root tests which allow for a possible break in trend occurring at an unknown point in the sample, considered in Harris, Harvey, Leybourne and Taylor (2008) [HHLT]. HHLT's analysis hinges on a new...

In this paper we analyse the impact of non-stationary volatility on the recently developed unit root tests which allow for a possible break in trend occurring at an unknown point in the sample, considered in Harris, Harvey, Leybourne and Taylor (2009) [HHLT]. HHLT's analysis hinges on a new...

We provide a joint treatment of two major problems that surround testing for a unit root in practice, namely uncertainty as to whether or not a linear deterministic trend is present in the data, and uncertainty as to whether the initial condition of the process is (asymptotically) negligible or...

The two most commonly applied tests of the null hypothesis of a unit autoregres-sive root in a time series generating process are examined. Simple theoretical calculations, confirmed by simulation evidence, suggest that the probabilities of rejection of the null hy-pothesis of those tests can...