This paper analyses the properties of Dickey-Fuller (1979) (DF) unit root tests in the presence of trend mis-specification. It is shown that while the performance of the DF coefficient test is as expected, the DF test in its t-ratio form exhibits unusual behaviour. In particular it is found that...

In recent research, Elliott et al. (1996) have shown the use of local-to-unity detrending via generalized least squares (GLS) to substantially increase the power of the Dickey-Fuller (1979) unit root test. In this paper the relationship between the extent of detrending undertaken, determined by...

Following Dickey & Fuller (1979) (DF), a stylized approach to the testing of the unit root hypothesis has emerged. Based upon the combined use of the DF test in its augmented t -ratio form and MacKinnon (1991) critical values, the approach has received widespread adoption due to the ease with...

In previous research it has been shown that while the Dickey--Fuller unit root test exhibits oversizing in the presence of GARCH, this is reduced via the application of White's heteroscedasticity-consistent covariance matrix (HCCM). These findings provide the motivation for the present study. It...

A positive view of data-mining has been recently presented in a Journal of Economic Methodology ( JEM ) symposium. This is in stark contrast to the stance normally taken. In this note consideration of the Bayesian philosophy of science literature and the impact of data revision extends the...

The literature on testing for the presence of cyclical asymmetry in consumers' expenditure is extended via the application of tests for time irreversibility to UK data subject to a higher degree of disaggregation than considered in previous studies. The empirical findings reported provide...

The research of Kim and Schmidt (J. Economet., 1993, 59, 287-300) is extended to examine the properties of modified Dickey-Fuller unit root tests in the presence of generalized autoregressive conditional heteroskedasticity (GARCH). Using Monte Carlo simulation, the properties of the tests are...

In recent research, Davis (2005) has introduced the semantic conception of theories as a means of studying the differing practices of the Textbook and LSE approaches to econometric modelling. In this paper, Davis' (2005) use of the semantic view is examined, with close attention paid to the...

The relationship between the initial condition of time series data and the power of the Dickey-Fuller (1979) test and a number of modified Dickey-Fuller tests is examined. The results obtained extend the asymptotic analysis of Muller and Elliott (2003) by both focussing upon finite-sample power...