JOINT APPLICATION OF THE DICKEY-FULLER AND KPSS TESTS

For the joint use of Dickey-Fuller and KPSS statistics, the convention al critical values for those tests should be replaced by symmetric cri tical power values, corresponding to the probability of type 1 error f or the Dickey-Fuller test and power of the KPSS tests for equal margin al cumulative distributions. The table gives values computed in Monte Carlo experiments. (C) 1998 Elsevier Science S.A. All rights reserved.