Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. … - Granger Centre for Time Series Econometrics, School of … - 2007
In this paper we consider the issue of testing for a unit root when it is uncertain as to whether or not a linear deterministic trend is present in the data. The Dickey-Fuller-type tests of Elliott, Rothenberg and Stock (1996), based on (local) GLS detrended (demeaned) data, are near...