We extend the class of M-tests for a unit root analyzed by Perron and Ng (1996) and Ng and Perron (1997) to the case where a change in the trend function is allowed to occur at an unknown time. These tests M(GLS) adopt the GLS detrending approach of Dufour and King (1991) and Elliott, Rothenberg...

Power functions of tests of the random walk hypothesis versus stationary first order autoregressive alternatives are tabulated for samples of fixed span but various frequencies of observation.

This paper considers the problem of estimation in the linear regression model with multiple structural changes. We first survey the class of models analyzed by Bai and Perron (1996) and some of their asymptotic results. We then discuss in greater details a numerical algorithm, based on the...