There is a widespread tendency in the applied time series literature to interpret rejections of the unit root null hypothesis in favor of a trend stationary process with possible trend breaks as evidence that the data are better characterized as stationary about a broken trend. This...

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...

Tests of the null hypothesis of stationarity against the unit root alternative play an increasingly important role in empirical work in macroeconomics and in international finance. We show that the use of conventional asymptotic critical values for stationarity tests may cause extreme size...

Recent tests using long data series find evidence in favor of long-run PPP (by rejecting either the null hypothesis of unit roots in real exchange rates and relative prices.)

This paper proposes similar unit root testing procedures for both homogenous and heterogeneous dynamic panel data models, based on least squares estimates and assuming that the time dimension of the panel data is fixed. It is shown that the limiting distribution of the tests id standard normal.

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...