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In this paper we investigate the impact of non-stationary cycles on the asymptotic and ...nite sample properties of standard unit root tests. Results are presented for the augmented Dickey-Fuller normalised bias and t-ratio-based tests (Dickey and Fuller, 1979, and Said and Dickey, 1984), the variance ratio unit root test of Breitung (2002) and the M class of unit-root tests introduced by Stock (1999) and Perron and Ng (1996). The limiting distributions of these statistics are derived in thedoi:10.1017/s0266466613000066 fatcat:j67xrria2nbhvmn7rmsnx2je4y