In this paper, we concentrate on the case of an exogeneously chosen break date, but entertain the possibility that an incorrect choice is made. In fact, the Perron test statistics considered are invariant to any break in the generating process at the assumed break date. Our results therefore...

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...