Perron, Pierre; Yabu, Tomoyoshi - In: Journal of Econometrics 151 (2009) 1, pp. 56-69
We propose a test for the slope of a trend function when it is a priori unknown whether the series is trend-stationary or contains an autoregressive unit root. The procedure is based on a Feasible Quasi Generalized Least Squares method from an AR(1) specification with parameter [alpha], the sum...