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>

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...

In this paper 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 some unknown point in the series. We propose a break fraction estimator which, in the presence of a break in trend, is consistent for the true break...

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, Journal of Econometrics, 115, 53-74), allowing for heterogeneous deterministic intercept terms. We consider the situation where the...