Cavaliere, Giuseppe; Harvey, David I.; Leybourne, Stephen J. - School of Economics and Management, University of Aarhus - 2008
In this paper we analyse the impact of non-stationary volatility on the recently developed unit root tests which allow for a possible break in trend occurring at an unknown point in the sample, considered in Harris, Harvey, Leybourne and Taylor (2008) [HHLT]. HHLT's analysis hinges on a new...