Title of article :
Joint application of the Dickey-Fuller and KPSS tests
Author/Authors :
Wojciech W. Charemza، نويسنده , , Ewa M. Syczewska، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 1998
Abstract :
For the joint use of Dickey-Fuller and KPSS statistics, the conventional critical values for those tests should be replaced by symmetric critical power values, corresponding to the probability of type 1 error for the Dickey-Fuller test and power of the KPSS tests for equal marginal cumulative distributions. The table gives values computed in Monte Carlo experiments
Keywords :
Nonstationarity , Joint hypotheses testing , Unit roots
Journal title :
Economics Letters
Journal title :
Economics Letters