It is common in applied econometrics to test the null hypothesis of a level-stationary process against the alternative of a unit root process. We show that the use of conventional asymptotic critical values for the stationarity tests of Kwiatkowski et al. (1992) and Leybourne and McCabe (1994)...

In this paper we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. To obtain the asymptotic distributions of the tests we generalize many theoretical results, as well as new...

Seemingly absent from the arsenal of currently available nearly efficient testing procedures for the unit root hypothesis, i.e. tests whose local asymptotic power functions are indistinguishable from the Gaussian power envelope, is a test admitting a (quasi-)likelihood ratio interpretation. We...