This paper considers tests for a unit root when the innovations follow a near-integrated GARCH process. We compare the asymptotic properties of the likelihoodratio statistic with that of the least-squares based Dickey-Fuller statistic. We first useasymptotics where the GARCH variance process is...

It is generally believed that for the power of unit root tests, only the time span and not the observation frequency matters. In this paper we show that the observation frequency does matter when the high-frequency data display fat tails and volatility clustering, as is typically the case for...

This paper puts forward a method to estimate average economic growth, andits associated confidence bounds, which does not require a formal decision onpotential unit root properties. The method is based on the analysis of eitherdifference-stationary or trend-stationary time series models,...