{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,1]],"date-time":"2026-07-01T07:44:44Z","timestamp":1782891884527,"version":"3.54.5"},"reference-count":36,"publisher":"Cambridge University Press (CUP)","issue":"3","license":[{"start":{"date-parts":[[2009,6,1]],"date-time":"2009-06-01T00:00:00Z","timestamp":1243814400000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2009,6]]},"abstract":"<jats:p>In this paper we focus on two major issues that surround testing for a unit root in practice, namely, (i) uncertainty as to whether or not a linear deterministic trend is present in the data and (ii) uncertainty as to whether the initial condition of the process is (asymptotically) negligible or not. In each case simple testing procedures are proposed with the aim of maintaining good power properties across such uncertainties. For the first issue, if the initial condition is negligible, quasi-differenced (QD) detrended (demeaned) Dickey\u2013Fuller-type unit root tests are near asymptotically efficient when a deterministic trend is (is not) present in the data generating process. Consequently, we compare a variety of strategies that aim to select the detrended variant when a trend is present, and the demeaned variant otherwise. Based on asymptotic and finite-sample evidence, we recommend a simple union of rejections-based decision rule whereby the unit root null hypothesis is rejected whenever either of the detrended or demeaned unit root tests yields a rejection. Our results show that this approach generally outperforms more sophisticated strategies based on auxiliary methods of trend detection. For the second issue, we again recommend a union of rejections decision rule, rejecting the unit root null if either of the QD or ordinary least squares (OLS) detrended\/demeaned Dickey\u2013Fuller-type tests rejects. This procedure is also shown to perform well in practice, simultaneously exploiting the superior power of the QD (OLS) detrended\/demeaned test for small (large) initial conditions.<\/jats:p>","DOI":"10.1017\/s026646660809018x","type":"journal-article","created":{"date-parts":[[2009,1,30]],"date-time":"2009-01-30T09:49:35Z","timestamp":1233308975000},"page":"587-636","source":"Crossref","is-referenced-by-count":99,"title":["UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION"],"prefix":"10.1017","volume":"25","author":[{"given":"David I.","family":"Harvey","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Stephen J.","family":"Leybourne","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"A.M. Robert","family":"Taylor","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2009,6,1]]},"reference":[{"key":"S026646660809018X_ref8","doi-asserted-by":"publisher","DOI":"10.2307\/2171846"},{"key":"S026646660809018X_ref30","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176348666"},{"key":"S026646660809018X_ref29","doi-asserted-by":"publisher","DOI":"10.1017\/S026646660000877X"},{"key":"S026646660809018X_ref19","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00256"},{"key":"S026646660809018X_ref35","doi-asserted-by":"publisher","DOI":"10.2307\/1913104"},{"key":"S026646660809018X_ref18","doi-asserted-by":"publisher","DOI":"10.2307\/2297912"},{"key":"S026646660809018X_ref23","doi-asserted-by":"publisher","DOI":"10.2307\/1913237"},{"key":"S026646660809018X_ref16","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466607070296"},{"key":"S026646660809018X_ref15","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90104-Y"},{"key":"S026646660809018X_ref7","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.07.024"},{"key":"S026646660809018X_ref14","doi-asserted-by":"crossref","unstructured":"Jansson M . (2007) Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis. School of Economics, University of California, Berkeley. Downloadable from http:\/\/www.econ.berkeley.edu\/~mjansson\/Papers\/SemiparametricUnitRoot.pdf.","DOI":"10.2139\/ssrn.1149960"},{"key":"S026646660809018X_ref1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00030-5"},{"key":"S026646660809018X_ref20","first-page":"107","volume-title":"Advances in Econometrics: Cointegration, Spurious Regression and Unit Roots","author":"Park","year":"1990"},{"key":"S026646660809018X_ref12","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.2006.00486.x"},{"key":"S026646660809018X_ref11","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2005.00154.x"},{"key":"S026646660809018X_ref6","doi-asserted-by":"publisher","DOI":"10.1111\/1468-2354.00039"},{"key":"S026646660809018X_ref22","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2006.06.009"},{"key":"S026646660809018X_ref2","doi-asserted-by":"publisher","DOI":"10.2307\/2297634"},{"key":"S026646660809018X_ref9","doi-asserted-by":"crossref","DOI":"10.1515\/9780691218632","volume-title":"Time Series Analysis","author":"Hamilton","year":"1994"},{"key":"S026646660809018X_ref27","doi-asserted-by":"publisher","DOI":"10.2307\/2999618"},{"key":"S026646660809018X_ref21","unstructured":"Park J.Y. & Choi B. (1988) A New Approach to Testing for a Unit Root. CAE Working paper 88\u201323, Cornell University."},{"key":"S026646660809018X_ref17","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00447"},{"key":"S026646660809018X_ref13","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2007.02.005"},{"key":"S026646660809018X_ref4","doi-asserted-by":"publisher","DOI":"10.1081\/ETC-120015385"},{"key":"S026646660809018X_ref24","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/74.3.535"},{"key":"S026646660809018X_ref10","unstructured":"Harris D. , Harvey D.I. , Leybourne S.J. , & Taylor A.M.R. (2007) Testing for a Unit Root in the Presence of a Possible Break in Trend. Granger Centre Discussion paper 07\/04, Granger Centre for Time Series Econometrics, University of Nottingham. Downloadable from http:\/\/www.nottingham.ac.uk\/economics\/grangercentre\/publications.htm."},{"key":"S026646660809018X_ref25","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060402"},{"key":"S026646660809018X_ref26","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950060411"},{"key":"S026646660809018X_ref31","doi-asserted-by":"publisher","DOI":"10.1111\/1467-6419.00064"},{"key":"S026646660809018X_ref32","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/71.3.599"},{"key":"S026646660809018X_ref3","doi-asserted-by":"publisher","DOI":"10.1198\/073500104000000631"},{"key":"S026646660809018X_ref34","doi-asserted-by":"publisher","DOI":"10.2307\/2998543"},{"key":"S026646660809018X_ref36","doi-asserted-by":"publisher","DOI":"10.1111\/1368-423X.12016"},{"key":"S026646660809018X_ref5","first-page":"427","article-title":"Distribution of the estimators for autoregressive time series with a unit root","volume":"74","author":"Dickey","year":"1979","journal-title":"Journal of the American Statistical Association"},{"key":"S026646660809018X_ref28","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/75.2.335"},{"key":"S026646660809018X_ref33","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1992.tb00002.x"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S026646660809018X","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,9,30]],"date-time":"2021-09-30T21:10:00Z","timestamp":1633036200000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S026646660809018X\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2009,6]]},"references-count":36,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2009,6]]}},"alternative-id":["S026646660809018X"],"URL":"https:\/\/doi.org\/10.1017\/s026646660809018x","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2009,6]]}}}