In this article, I argue that if an explosive root is considered a serious alternative to an I(2) process, then joint testing for the number of unit roots along the lines of Hasza and Fuller is preferable instead of prior differencing as suggested by Dickey and Pantula. A semiparametric...

This paper discusses the properties of the univariate Dickey-Fuller test and the Johansen test for the cointegrating rank when there exist additive outlying observations in the time series. The authors provide analytical as well as numerical evidence that additive outliners may produce spurious...