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
Pages
5
From page
17
To page
21
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
Serial Year
1998
Journal title
Economics Letters
Record number
434637
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