Alternative lag length selection criteria and the split-trend stationarityhypothesis

This study asks whether evidence that key macroeconomic time series are sta tionary around broken trends is robust to using different criteria to deter mine the lag length in the ADF regressions. When lag lengths are determined using the Schwarz criterion or two different specific-to-general methods, tests for unit roots in several series in the Nelson-Plosser (1982) data an d in US postwar real GNP rnd weaker evidence against the unit root hypothes is than either Perron (1989), who set the date for the break in the trend a priori or Zivot and Andrews (1992), who determined the break date endogeno usly.