• 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