Key points are not available for this paper at this time.
Perron (1989, Econometrica 57, 1361–1401) introduced unit root tests valid when a break at a known date in the trend function of a time series is present. In particular, they allow a break under both the null and alternative hypotheses and are invariant to the magnitude of the shift in level and/or slope. The subsequent literature devised procedures valid in the case of an unknown break date. However, in doing so most research, in particular the commonly used test of Zivot and Andrews (1992, Journal of Business (2) we adopt the quasi–generalized least squares detrending method advocated by Elliott, Rothenberg, and Stock (1996, Econometrica 64, 813–836) that permits tests that have local asymptotic power functions close to the local asymptotic Gaussian power envelope; (3) we consider a variety of tests, in particular the class of M -tests introduced in Stock (1999, Cointegration, Causality, and Forecasting: A Festschrift for Clive W.J. Granger ) and analyzed in Ng and Perron (2001, Econometrica 69, 1519–1554).
Carrion‐i‐Silvestre et al. (Mon,) studied this question.