In this paper we analyze the sensitivity of unit root inference to nonlinear transformations through Bayesian techniques. We make joint inference about the Box-Cox transformation, which includes the cases yt and log(yt), and the unit root. When we apply our method to the fourteen Nelson-Plosser...

We propose methods to test for common deterministic seasonality, while allowing for possible seasonal unit roots. For this purpose, we consider panel methods, where we allow for individualand for common dynamics. To decide on the presence of seasonal unit roots, we introduce a decision-based...

In this paper we propose a sequential testing procedure to determine the order of differencing in seasonally observed time series processes, which builds existing approaches developed for nonseasonal series. We allow for the possible presence of multiple unit roots at both zero and seasonal...

In this paper, we make use of state space models to investigate the presence of stochastic trends in economic time series. A model is specified where such a trend can enter either in the autoregressive representation or in a separate state equation. Tests based on the former are analogous to...