Unit root and stationarity tests wedding

In this paper the joint confirmation hypothesis (JCH) of unit root for the simultaneous use of the DF and KPSS tests, on the one hand, and the PP and KPSS tests, on the other, is studied. Critical values to be applied when testing this confirmation hypothesis are computed. The performance of this approach is analysed through a Monte Carlo experiment which shows that the use of these critical values produces a better characterization of the DGP when there is a unit root.