empirical practice. Inthis paper we investigate the finite sample impact of unconditional heteroskedasticity onconventional data … toover-fit the lag order under heteroskedasticity, which results in significant power losses in the(wild bootstrap … implementation of the) augmented Dickey-Fuller tests under the alternative. Thenew lag selection criteria we propose are shown to …

, Leybourne and Taylor (2010, Journal of Econometrics, forthcoming) propose decision rules based on a four-way union of rejections … of QD and OLS detrended tests, both with and without allowing for a linear trend, to deal with the first two problems … of the volatility process, making tests based on the standard asymptotic critical values invalid. We construct bootstrap …

The role of detrending in bootstrap unit root tests is investigated. When bootstrapping, detrending must not only be … the two points should be treated separately. Asymptotic validity of sieve bootstrap ADF unit root tests is shown for test … used to obtain the test statistic should be based on the power properties of the corresponding asymptotic tests. …

by a structural break, the new tests allow for detecting which frequencies of the data are responsible for parameter …