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...

It is well known that it is vital to account for trend breaks when testing for a unit root. In practice, uncertainty exists over whether or not a trend break is present and, if it is, where it is located. Harris et al. (2009) and Carrion-i-Silvestre et al. (2009) propose procedures which account...

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 propose tests for the null hypothesis that a time series process displays a constant level against the alternative that it displays (possibly) multiple changes in level. Our proposed tests are based on functions of appropriately standardized sequences of the differences between...

In this paper we propose tests for the null hypothesis that a time series process displays a constant level against the alternative that it displays (possibly) multiple changes in level. Our proposed tests are based on functions of appropriately standardised sequences of the differences between...

In this paper we consider the issue of testing a time series for a unit root in the possible presence of a break in a linear deterministic trend at some unknown point in the series. We propose a break fraction estimator which, in the presence of a break in trend, is consistent for the true break...

We consider testing for the presence of nonlinearities in the mean and/or trend 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...

In this paper we focus on two major issues that surround testing for a unit root in practice, namely: (i) uncertainty as to whether or not a linear deterministic trend is present in the data, and (ii) uncertainty as to whether the initial condition of the process is (asymptotically) negligible...