This paper compares the basic properties of stationary autoregressive processes and random walks with special regard to their implications to unit root testing. In particular, it aims to answer three basic but important questions. Firstly: 'What do a constant term (drift) and a linear time trend...

We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR) model. This allows us to investigate the presence of a deterministic time trend in economic series, while allowing the degree of persistence to change over time. In particular...