In this note, we highlight a minor error in the asymptotic distribution of one of the Busetti and Harvey (2001) tests for stationarity in the presence of structural breaks, and provide corrected asymptotic critical values where relevant. In addition, we examine the extent to which finite sample...

It is now well known that how the initial observation is generated can have a significant effect on the power of a unit-root test. In this article, we show that by taking a simple data-dependent weighted average of the initial condition-robust test of Elliott and Müller [Journal of Econometrics...

This article examines the behaviour of some recently proposed 'robust' (to the order of integration of the data) tests for the presence of a deterministic linear trend in a univariate times series in situations where the magnitude of the initial condition of the series is non-negligible. We...

We consider testing for the presence of nonlinearities in the deterministic component of a time series, approximating the potential nonlinear behaviour using a Fourier function expansion. In contrast to procedures that are currently available, we develop tests that are robust to the order of...