Tests for unit roots in univariate time series with level shifts are proposed and investigated. The level shift is assumed to occur at a known time. It may be a simple one-time shift which can be captured by a dummy variable or it may have a more general form which can be modeled by some general...

Unit root tests are considered for time series with innovational outliers. The function representing the outliers can have a very general nonlinear form and additional deterministic mean and trend terms are allowed for. Prior to the tests the deterministic parts and other nuisance parameters of...

A number of unit root tests which accommodate a deterministic level shift at a known point in time are compared in a Monte Carlo study. The tests differ in the way they treat the deterministic term of the DGP. It turns out that Phillips-Perron type tests have very poor small sample properties...

Two types of unit root tests which accommodate a structural level shift at a known point in time are extended to the situation where the break date is unknown. It is shown that for any estimator for the break date the tests have the same asymptotic distribution as the corresponding tests under...

This paper proposes unit root tests based on partially adaptive estimation. The proposed tests provide an intermediate class of inference procedures that are more efficient than the traditional OLS-based methods and simpler than unit root tests based on fully adaptive estimation using...

In this paper, starting from continuous-time local level unobserved components models for stock and flow data we derive locally best invariant (LBI) stationarity tests for data available at potentially irregularly spaced points in time. We demonstrate that the form of the LBI test differs...

This paper considers the economic implications of having unit roots in stochastic processes of variables like consumption or GDP. Using a variety of models, we develop indirect tests for unit roots based on sharp distinctions that should arise when the scale variable is either difference...

This paper studies the asymptotic properties of a nonstationary partially linear regression model. In particular, we allow for covariates to enter the unit root (or near unit root) model in a nonparametric fashion, so that our model is an extension of the semiparametric model analyzed in...

This paper provides a theoretical functional representation of the density function related to the Dickey- Fuller random variable. The approach is extended to cover the multivariate case in two special frameworks: the independence and the perfect correlation of the series.

Many economic and financial time series show evidence of trending behavior or non stationarity in the mean. An important econometric goal is determining the most proper form of the trend in the data. The transformations of series depend on whether the series is trend stationary or difference...