In this note we derive the local asymptotic power function of the standardized averaged Dickey–Fuller panel unit root statistic of Im, Pesaran, and Shin (2003, <italic>Journal of Econometrics</italic>, 115, 53–74), allowing for heterogeneous deterministic intercept terms. We consider the situation where the...

This paper shows how fractional unit root tests originally derived under stationarity can be made robust to heteroskedasticity. This is done by using existing tests nested in a regression framework and then implementing these tests using White’s heteroskedasticity consistent standard errors...

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 an unknown point in the series. We propose a new break fraction estimator which, where a break in trend occurs, is consistent for the true break fraction at rate...</italic>

This paper considers the analysis of cointegrated time series using principal components methods. These methods have the advantage of requiring neither the normalization imposed by the triangular error correction model nor the specification of a finite-order vector autoregression. An...