In this paper we propose a likelihood ratio test for a change in persistence of a time series. We consider the null hypothesis of a constant persistence I(1) and an alternative in which the series changes from a stationary regime to a unit root regime and vice versa. Both known and unknown break...

type="main" xml:id="obes12057-abs-0001" <title type="main">Abstract</title> <p>In this article, we investigate the behaviour of stationarity tests proposed by Müller [Journal of Econometrics (2005) Vol. 128, pp. 195–213] and Harris et al. [Econometric Theory (2007) Vol. 23, pp. 355–363] with uncertainty over the trend...</p>

In this paper we propose tests based on GLS-detrending for testing the null hypothesis of deterministic seasonality. Unlike existing tests for deterministic seasonality, our tests do not suffer from asymptotic size distortions under near integration. We also investigate the behavior of the...

This paper proposes the extension of the Hasza and Fuller (1979) test for double unit roots based on GLS-detrending. The limiting distribution of this test is obtained under local to unity representation and coincides with the distribution of the conventional test in the absence of a...

In this paper a modification of the Busetti and Harvey (2001) test with structural break at unknown time is proposed. As the stationarity test with a super-consistent break date estimator is effective under large breaks and the infimum-test is effective under small breaks, although it has...