In this paper we develop new persistence change tests, similar in spirit to those of Kim (2000), Kim et al. (2002) and Busetti and Taylor (2004). While the exisiting tests are based on the maximum over an appropriate sequence of ratios of sub-sample stationarity statistics, our proposed tests...

In a recent paper, Taylor (2003) has shown that the seasonal unit root tests of Dickey et al. (1984) [DHF] have non-degenerate limiting distributions for series which admit unit roots at any of the zero or seasonal frequencies. In this note we go a stage further and show that the standard...