We show that the minimal forward (reverse) recursive unit tests of Banerjee, Lumsdaine and Stock [Journal of Business and Economics Statistics (1992) Vol. 10, pp. 271-288] are consistent against the alternative of a change in persistence from I(0) to I(1) [I(1) to I(0)]. However, these...

Although the t-ratio variant of the Dickey-Fuller test is the most commonly applied unit root test in practical applications, it has been known for some time that readily implementable, more powerful modifications are available. We explore the large sample properties of five of these modified...