Joint application of the Dickey-Fuller and KPSS tests

Economics Letters

Volumn 61, Issue 1, 1998, Pages 17-21

  Charemza, Wojciech W ^a   Syczewska, Ewa M ^b  

^a UNIVERSITY OF LEICESTER   (United Kingdom)

^b UNIVERSITY OF WARSAW   (Poland)

Author keywords

C12; C15; Joint hypotheses testing; Nonstationarity; Unit roots

Indexed keywords

EID: 0032331788     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1765(98)00149-9     Document Type: Article

References (6)

1. Amano, R.A., van Norden, S., 1992. Unit-root test and the burden of proof. File ewp-em/9502005 in: http://econwpa.wustl.edu/econ-wp/em/papers/9502/9502005.pdf.
2. Dickey D.A., Fuller W.A. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association. 74:1979;427-431.
3. Dickey D.A., Fuller W.A. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica. 49:1981;1057-1072.
4. Isaac, A.G., Rapach, D., 1996. Unit root testing: a collection of procedures. Computer GAUSS code available at http://netec.mcc.ac.uk and http://adnetec/CodEc/GaussAtAmericanU/GAUSSID/HTML.
5. Kwiatkowski D., Phillips P.C.B., Schmidt P., Shin Y. Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics. 54:1992;159-178.
6. Schlitzer G. Testing the null of stationarity against the alternative of a unit root: an application to the Italian post-war economy. Applied Economics. 28:1996;327-331.