Lobato and Robinson (1998) develop semiparametric tests for the null hypothesis that a series is weakly autocorrelated, or I(0), about a constant level, against fractionally integrated alternatives. These tests have the advantage that the user is not required to specify a parametric model for...

Testing for the presence of a broken linear trend when the nature of the persistence in the data is unknown is not a trivial problem, since the test needs to be both asymptotically correctly sized and consistent, regardless of the order of integration of the data. In a recent paper, Sayginsoy...