We apply the idea of using reversed time series to improve the power of Johansen tests. We suggest computationally simple variants of the trace and maximum eigenvalue statistics and establish their limit distributions. Both are shown, via simulation, to yield nontrivial power gains.

Although the t-ratio variant of the Dickey-Fuller test is the most commonly applied unit root test in practical applications, it has been known for some time that readily implementable, more powerful modifications are available. We explore the large sample properties of five of these modified...

We analyse the case where a unit root test is based on a Dickey-Fuller regression whose only deterministic term is a fixed intercept. Suppose, however, as could well be the case, that the actual data generating process includes a broken linear trend. It is shown theoretically, and verified...

Economists have recognized the possibility that a time series may change structure from trend-stationarity to difference-stationarity, or vice versa. Taking difference-stationarity as the null hypothesis, we develop tests for this possibility, where neither the location nor direction of any...

We analyse the case where a unit-root test is based on a Dickey-Fuller regression the only deterministic term of which is a fixed intercept. Suppose, however, as could well be the case, that the actual data-generating process includes a broken linear trend. It is shown theoretically, and...

Much research has been devoted to assessing the evidence for linear trend in a time series. We discuss the statistical implications of some recent developments, with specific application to 24 time series of relative primary commodities prices. Copyright 2003 Blackwell Publishing Ltd.

Unit root tests, seeking mean or trend reversion, are frequently applied to panel data. We show that more powerful variants of commonly applied tests are readily available. Moreover, power gains persist when the modifications are applied to bootstrap procedures that may be employed when...