Unit root and stationarity tests' wedding

In this paper the joint confirmation hypothesis (JCH) of unit root for the simultaneous use of the DF and KPSS tests, on the one hand, and the PP and KPSS tests, on the other, is studied. Critical values to be applied when te sting this confirmation hypothesis are computed. The performance of this ap proach is analysed through a Monte Carlo experiment which shows that the us e of these critical values produces a better characterization of the DGP wh en there is a unit root. (C) 2001 Elsevier Science B.V. All rights reserved . JEL classification: C12; C15; C22.