In this paper we propose a test of the null hypothesis of time series linearity against a nonlinear alternative, when uncertainty exists as to whether or not the series contains a unit root. We provide a test statistic that has the same limiting null critical values regardless of whether the...

In this note we derive the local asymptotic power function of the standardized averaged Dickey-Fuller panel unit root statistic of Im, Pesaran and Shin (2003, Journal of Econometrics, 115, 53-74), allowing for heterogeneous deterministic intercept terms. We consider the situation where the...

In practice a degree of uncertainty will always exist concerning what specification to adopt for the deterministic trend function when running unit root tests. While most macroeconomic time series appear to display an underlying trend, it is often far from clear whether this component is best...

This paper examines the behaviour of some recently proposed robust (to the order of integration of the data) tests for the presence of a deterministic linear trend in a univariate times series in situations where the magnitude of the initial condition of the series is non-negligible. We...

In this paper we develop a simple test procedure for a linear trend which does not require knowledge of the form of serial correlation in the data, is robust to strong serial correlation, and has a standard normal limiting null distribution under either I(0) or I(1) shocks. In contrast to other...

We provide a joint treatment of two major problems that surround testing for a unit root in practice, namely uncertainty as to whether or not a linear deterministic trend is present in the data, and uncertainty as to whether the initial condition of the process is (asymptotically) negligible or...

Refined asymptotic methods are used to produce degrees-of-freedom adjusted Edgeworth and Cornish-Fisher size corrections of the t and F testing procedures for the parameters of a S.U.R. model with serially correlated errors. The corrected tests follow the Student-t and F distributions,...

In this paper we suggest panel data unit root tests which allow for structural breaks in the individual effects or linear trends of panel data models. This is done under the assumption that the disturbance terms of the panel are heterogenous and serially correlated. The limiting distributions of...

Recent approaches to testing for a unit root when uncertainty exists over the presence and timing of a trend break employ break detection methods, so that a with-break unit root test is used only if a break is detected by some auxiliary statistic. While these methods achieve near asymptotic...

Testing for the presence of a broken linear trend when the nature of the persistence in the data is unknown is not a trivial problem, since the test needs to be both asymptotically correctly sized and consistent, regardless of the order of integration of the data. In a recent paper, Sayginsoy...