In this paper we present explanation on the phenomenon pointed out in Cook and Manning (2002) on the unusual behaviour of the Dickey-Fuller test in the presence of trend misspecification. It appears that the rejection frequency of the unit root tests in the presence of trend misspecification is...

In this paper, we propose a Nonlinear Dickey-Fuller test for unit root against first order Logistic Smooth Transition Autoregressive LSTAR (1) model with time as the transition variable. The Nonlinear Dickey-Fuller test statistic is established under the null hypothesis of random walk without...

[The original version of this paper appeared as a University of California San Diego working paper in 1990 but has since disappeared from the web. This version includes a new appendix.] This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although...

This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these tables are necessarily based on computer simulations, they are much more accurate than those previously available. The results of the simulation experiments are summarized by...

Recent approaches in unit root testing have taken into account the influences of initial condition, trend, and breaks in data using pre-testing and union of rejection testing strategies based on obtained information. This paper proposes an extension of the Harvey et al. (2012b) approach to...

We propose a class of simple rank-based tests for the null hypothesis of a unit root. This class is indexed by the choice of a reference density g, which needs not coincide with the unknown actual innovation density f. The validity of these tests, in terms of exact finite sample size, is...

We examine some of the consequences on commonly used unit root tests when the underlying series is integrated of order two rather than of order one. It turns out that standard augmented Dickey-Fuller type of tests for a single unit root have excessive density in the explosive region of the...

This paper discusses the role of deterministic components in the DGP and in the auxiliary regression model which underlies the implementation of the Fractional Dickey- Fuller (FDF) test for I(1) against F I(d) processes with d 2 [0; 1): Invariant tests to the presence of a drift under the null of...

We consider how unit root and stationarity tests can be used to study the convergence properties of prices and rates of inflation. Special attention is paid to the issue of whether a mean should be extracted in carrying out unit root and stationarity tests and whether there is an advantage to...

This paper considers unit root testing of time-series data with missing observations. Three procedures for dealing with the gaps are discussed. These include: ignoring the gaps, replacing the gaps with the last available observation, and filling the gaps with a linear interpolation method. The...