Unit Root Tests and the Burden of Proof

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.

Authors

Publication Details

Published
2024-10-18
DOI
https://doi.org/10.34989/swp-1992-7
Citations
28
Primary Topic
Monetary Policy and Economic Impact
Type
article
Field-Weighted Citation Impact
0.00
Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

Unit Root Tests and the Burden of Proof

Simon van Norden, Robert Amano
28 citations
Monetary Policy and Economic Impact
article

Unit Root Tests and the Burden of Proof

Simon van Norden, Robert Amano
article en
28 citations

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.

Openalex Percentile: Top 100%
Monetary Policy and Economic Impact
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.