UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION

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TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND (2009, methodology): “A number of trend break tests with these properties exist in the literature; see, inter alia, Vogelsang and Perron (1998), Sayginsoy and Vogelsang (2004), Perron and Yabu (2009), and Harvey et al. (2009a).”
Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator (2012, background): “Namely, the t-type statistic is standard normal if there is a neglected linear trend and the ADF regression includes a constant (West, 1988); this can be exploited to build union of rejections when one is not sure about the presence of a linear trend in the data (Harvey et al., 2009).”
Combining non‐cointegration tests (2013, methodology): “t γ and λmax refer to Engle and Granger (1987) and Johansen (1988) tests.”
UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST (2008, unknown): “The importance of initial conditions in affecting size and power in inference has been particularly emphasized in recent work (Elliott, 1999; Müller and Elliott, 2003; Elliott and Müller, 2006; Harvey, Leybourne, and Taylor, 2009).”