A novel simulation based approach to unit root testing is proposed in this paper. The test is constructed from the distinct orders in probability of the OLS parameter estimates obtained from a spurious and an unbalanced regression, respectively. While the parameter estimate from a regression of...

This paper consider the GLS detrending procedure advanced by Elliott et al. (1996) for unit root tests against alternative hypotheses where the time series data under investigation follow either globally stationary SETAR or STAR processes with deterministic components being present. It is found...

This is a simulation-based warning note for practitioners who use the MGLS unit root tests in the context of structural change using different selection lag length criteria. With T=100 , we find severe oversize problems when using some criteria, while other criteria produce an undersizing...

This is a simulation-based warning note for practitioners who use the M GLS MGLS unit root tests in the context of structural change using different selection lag length criteria. With T=100 T=100 , we find severe oversize problems when using some criteria, while other criteria produce an...

In a very influential paper Elliott et al. (Efficient Tests for an Autoregressive Unit Root, Econometrica 64, 813–836, 1996) show that no uniformly most powerful test for the unit root testing problem exits, derive the relevant power envelope and characterize a family of point-optimal tests....

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...

Virtually each seasonal adjustment software includes an ensemble of seasonality tests for assessing whether a given time series is in fact a candidate for seasonal adjustment. However, such tests are certain to produce either the same resultor conflicting results, raising the question if there...

Virtually each seasonal adjustment software includes an ensemble of seasonality tests for assessing whether a given time series is in fact a candidate for seasonal adjustment. However, such tests are certain to produce either the same resultor conflicting results, raising the question if there...

The Perron test is the most commonly applied procedure to test for a unit root in the presence of a structural break of unknown timing in the trend function. Deriving the Perron-type test regression from an unobserved component model, it is shown that the test regression in fact is nonlinear in...