We analyse the case where a unit-root test is based on a Dickey-Fuller regression the only deterministic term of which is a fixed intercept. Suppose, however, as could well be the case, that the actual data-generating process includes a broken linear trend. It is shown theoretically, and...

Much research has been devoted to assessing the evidence for linear trend in a time series. We discuss the statistical implications of some recent developments, with specific application to 24 time series of relative primary commodities prices. Copyright 2003 Blackwell Publishing Ltd.

Assume that a time series is generated by an autoregression which has atmost one unit root. A correctly specified model, including linear time trend, is estimated by ordinary least squares, but no allowance is made for any unit root in the generating process. We investigate the impact of...

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...