This article examines the behaviour of some recently proposed 'robust' (to the order of integration of the data) tests for the presence of a deterministic linear trend in a univariate times series in situations where the magnitude of the initial condition of the series is non-negligible. We...

In this paper we investigate the role of deterministic components and initial values in bootstrap likelihood ratio type tests of cointegration rank. A number of bootstrap procedures have been proposed in the recent literature some of which include estimated deterministic components and nonzero...

In this paper we investigate bootstrap-based methods for bias-correcting the first-stage parameter estimates used in some recently developed bootstrap implementations of the co-integration rank tests of Johansen (1996). In order to do so we adapt the framework of Kilian (1998) which estimates...

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...

Testing for the presence of a broken linear trend when the nature of the persistence in the data is unknown is not a trivial problem, since the test needs to be both asymptotically correctly sized and consistent, regardless of the order of integration of the data. In a recent paper, Sayginsoy...

The contribution of this paper is twofold. First we extend the large sample results provided for the augmented Dickey-Fuller test by Said and Dickey (1984) and Chang and Park (2002) to the case of the augmented seasonal unit root tests of Hylleberg et al. (1990) [HEGY], inter alia. Our analysis...