In this paper we consider the problem of testing the null hypothesis that a series has a constant level against the alternative that the level follows a random walk. This problem has previously been studied by inter alia, Nyblom and Makelainen in the context of the orthogonal random walk plus...

This paper is concerned with tests for seasonal unit roots in a univariate time series process. We construct test statistics which are similar, both exactly and asymptotically, with respect to both the initial values of the process and the possibility of differential seasonal dirft under the...

A sequential procedure for determination of trend degree and testing for unit root is introduced; its properties are investigated by Monte Carlo experiments. We compare the performance of Augmented Dickey-Fuller tests and the GLS tests of Elliott, Rothenberg and Srock (1996), in both cases with lag...

In this paper, I test a fiscal dominance hypothesis of central bank independence in developing countries.

This paper considers the problem of testing for a nonstochastic seasonal unit root in a seasonally observed time-series process against the alternative of a randomized seasonel root with mean unity; that is, the process displays heteroscedastic seasonal integration.