We analyze the choice of the truncation lag in the context of the Said-Dickey test for the presence of a unit root in a general autoregressive moving average model. It is shown that a deterministic ...

This paper introduces a newly developed unit root test procedure named the Fourier Quantile AESTAR (FAESTAR-QKS) test that allows nonlinearity and structural changes. The FAESTAR-QKS unit root test is ...