In this paper we investigate the impact of non-stationary cycles on the asymptotic and finite sample properties of standard unit root tests. Results are presented for the augmented Dickey-Fuller normalised bias and t-ratio-based tests (Dickey and Fuller, 1979, and Said and Dickey, 1984), the...

In two recent papers Enders and Lee (2008) and Becker et al. (2006) provide Lagrange multiplier and OLS de-trended unit root tests, and stationarity tests, respectively, which incorporate a Fourier approximation element in the deterministic component. Such an approach can prove useful in...