This paper considers the problem of testing for structural changes in the trend function of a univariate time series without any prior knowledge as to whether the noise component is stationary or contains an autoregressive unit root. We propose a new approach that builds on the work of Perron...

Recent work on trend-cycle decompositions for US real GDP yields the following features: methods based on Unobserved Components models, the Beveridge-Nelson decomposition, the Hodrick-Prescott filter and others yield very different cycles which bear little resemblance to the NBER chronology,...

Perron (1989) introduced unit root tests valid when a break at a known date in the trend function of a time series is present, which are invariant to the magnitude of the shift in level and/or slope and to allow them under both the null and alternative hypotheses. The subsequent literature...