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...

We consider testing for the presence of nonlinearities in the deterministic component of a time series, approximating the potential nonlinear behaviour using a Fourier function expansion. In contrast to procedures that are currently available, we develop tests that are robust to the order of...

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...

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...

In this paper we consider estimating the timing of a break in level and/or trend when the order of integration and autocorrelation properties of the data are unknown. For stationary innovations, break point estimation is commonly performed by minimizing the sum of squared residuals across all...

In this paper we consider testing for a unit root in the possible presence of a trend break at an unknown time. Zivot and Andrews (1992) [Journal of Business and Economic Statistics 10, 251–270] proposed using the infimum of t-ratio Dickey–Fuller statistics across all candidate break points...

We compare the asymptotic local power of upper-tail unit root tests against an explosive alternative based on ordinary least squares (OLS) and quasi-differenced (QD) demeaning/detrending. We find that under an asymptotically negligible initialisation, the QD-based tests are near asymptotically...

In the context of regression-based (quarterly) seasonal unit root tests, we examine the impact of initial conditions (one for each quarter) of the process on test power. We investigate the behaviour of the OLS detrended HEGY seasonal unit root tests of Hylleberg et al. (1990) and the...

type="main" xml:id="obes12037-abs-0001" <title type="main">Abstract</title> <p>In this article, we consider estimating the timing of a break in level and/or trend when the order of integration and autocorrelation properties of the data are unknown. For stationary innovations, break point estimation is commonly performed by...</p>