The Hodrick-Prescott …lter is often applied to economic series as part of thestudy of business cycles. Its properties have most frequently been exploredthrough the development of essentially asymptotic results which are practicallyrelevant only some distance from series endpoints. Our concern...

It is known that Dickey-Fuller tests can lead to spurious rejections of the unit root nullhypothesis when the true generating process is difference-stationary with a break.Suppose now that an unsuccessful attempt is made to allow for a break, either throughmisplaced dummy variables or through...