Trend breaks appear to be prevalent in macroeconomic time series. Consequently, to avoid the catastrophic impact that unmodelled trend breaks have on power, it is standard empirical practice to employ unit root tests which allow for such effects. A popularly applied approach is the infimum...

In this paper we consider testing for a unit root in the possible presence of a trend break at an unknown time. Zivot and Andrews (1992) [Journal of Business and Economic Statistics 10, 251–270] proposed using the infimum of t-ratio Dickey–Fuller statistics across all candidate break points...

We propose methods for constructing confidence sets for the timing of a break in level and/or trend that have asymptotically correct coverage for both I(0) and I(1) processes. These are based on inverting a sequence of tests for the break location, evaluated across all possible break dates. We...

Harvey, Leybourne and Taylor [Harvey, D.I., Leybourne, S.J., Taylor, A.M.R. 2009. Simple, robust and powerful tests of the breaking trend hypothesis. Econometric Theory 25, 995–1029] develop a test for the presence of a broken linear trend at an unknown point in the sample whose size is...

Testing for the presence of a broken linear trend when the nature of the persistence in the data is unknown is not a trivial problem, since the test needs to be both asymptotically correctly sized and consistent, regardless of the order of integration of the data. In a recent paper, Sayginsoy...