In a recent article, Xu (2008) developed the asymptotic theory for autoregressions around a polynomial trend, under nonstationary volatility. In the same article, Xu proposed a set of t-tests for the regression coefficients and claimed that these tests are asymptotically standard normal. A...

A number of recently published papers have focused on the problem of testing for a unit root in the case where the driving shocks may be unconditionally heteroskedastic. These papers have, however, assumed that the lag length in the unit root test regression is a deterministic function of the...