The standard Dickey–Fuller (DF) test is routinely employed to analyse the integrated nature of economic and financial time series. However, recent research has shown the test to suffer severe size distortion in the presence of breaks in innovation variance under the unit root null hypothesis....

A new approach is developed to examine potential causality between merger activity and industrial production. The proposed method combines an information criterion-based approach to lag optimisation with joint maximum likelihood estimation of an autoregressive distributed lag model and...

The notion of a ripple effect in the UK housing market implies stationarity in regional:national house price ratios. In this paper a new means of examining this issue is proposed which involves the joint application of a powerful unit root test and a test of stationarity. In contrast to the...

Using Monte Carlo simulation, threshold autoregressive (TAR) and momentum-threshold autoregressive (MTAR) asymmetric unit root tests are examined in the presence of generalised autoregressive conditional heteroskedasticity (GARCH). It is shown that TAR and MTAR unit root tests exhibit greater...