Properties of Unit Root Tests for Models with Trend and Cycles
A unit root test is usually carried out by using the regression test introduced by Dickey and Fuller (1979). Under the null hypothesis the series should be a random walk and a stationary component. This is what is done in additive decompositions between trend and cycle. The paper analyses the behaviour of the Dickey and Fuller test under this kind of null hypothesis which is more general. It shows that usual Dickey and Fuller tables are no longer relevant.
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