Unit Root Tests and the Burden of Proof
Year: 2024
Type: article
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.
DOI: 10.34989/swp-1992-7
Authors: Amano, Robert A., van Norden, Simon
Language: English
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1537678467