This paper analyses the properties of Dickey-Fuller (1979) (DF) unit root tests in the presence of trend mis-specification. It is shown that while the performance of the DF coefficient test is as expected, the DF test in its t-ratio form exhibits unusual behaviour. In particular it is found that...

This paper analyses the properties of Dickey-Fuller (1979) (DF) unit root tests in the presence of trend mis-specification. It is shown that while the performance of the DF coefficient test is as expected, the DF test in its t-ratio form exhibits unusual behaviour. In particular it is found that...

The asymmetric unit root tests of Enders and Granger (Journal of Business and Economic Statistics, 16, 304-11, 1998) are examined using consistent threshold estimation and the original two-step procedure. In contrast to earlier studies, the ability of the tests to jointly reject the unit root...