Unit Root Tests and the Burden of Proof

Robert Amano and Simon van Norden ()

Econometrics from University Library of Munich, Germany

Abstract: Simulation evidence is presented on the finite sample properties of two tests for stationarity recently proposed by Kwiatkowski, Phillips and Schmidt (1991) and Park (1990). Unlike earlier unit-root tests, these test the null of stationarity against the alternative of a unit root, thereby reversing the usual burden of proof. We also examine the consequenes of using the Kwiatkowski, Phillips and Schmidt test in conjuction with a standard unit-root test. These results suggest that the frequency of incorrect conclusions may be decreased relative to the application of only standard unit-root tests. Also, such a joint testing procedure may in some cases permit researchers to be more confident about their tests' results.

JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Pages: 20 pages
Date: 1995-02-08
Note: 20 pages, Postscript, includes tables. File compressed in a single Info-zip archive, then uuencoded.
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Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:9502005

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