The ADF–KPSS test of the joint confirmation hypothesis of unit autoregressive root

Price-wage nexus and the role of a tax system

“…The results of the ADF and KPSS tests presented in Table 1 do not support this hypothesis, perhaps because they underestimate the order of integration (see the discussion in: Kębłowski and Welfe 2004). Nevertheless, the results of a system test using restrictions imposed on the elements of matrixesB 2?…”

Estimation of the equilibrium exchange rate: The CHEER approach

“…In the first step, I(2)-ness versus I(1)-ness of the series was investigated, and then I(1)-ness against stationarity, according to a strategy proposed by Dickey and Pantula (1987). Three tests were applied: the augmented DickeyeFuller test (1979), the KPSS test (Kwiatkowski et al, 1992), and additionally the joint ADF-KPSS test (see Charemza and Syczewska, 1998;Carrion-i-Silvestre et al, 2001;Kę b1owski and Welfe, 2004). Serial correlation of residuals in the ADF regression was verified using the Ljung and Box test (1978).…”

Re-Examining the Empirical Evidence for Stochastic Convergence of Two Air Pollutants with a Pair-Wise Approach

“…To understand it, it must be noted that standard marginal critical values have been used while testing the null hypotheses of unit root and stationarity and yet Carrion-i-Silvestre et al (2001) show that simultaneous tests of stationarity and unit root must be carried out by using specific marginal critical values. In this context, it would be interesting to test the joint confirmation hypothesis of a unit root for all the N (N − 1)/2 pairs by using critical values computed by Carrion-i-Silvestre et al (2001) and Keblowski and Welfe (2004).…”

“…Note that for the computation of the KPSS test statistics, the window lags are chosen approximately as the integer of 0.75T 1/3 . Critical values for ADF and KPSS tests, with a trend and without, are taken from Carrion-i-Silvestre et al (2001) and Keblowski and Welfe (2004). For a I (0) column, the number in a cell is the percentage of stationary pairs whereas for a I (1) column, it is the percentage of integrated pairs according to the ADF-KPSS joint test Same as Table 7 …”

“…Their unit-root properties with both tests are examined using critical values from the joint confirmation hypothesis. Note that these specific critical values are taken from Carrion-i- Silvestre et al (2001) and Keblowski and Welfe (2004) for small samples.…”