The objective of this article is to compare the size and power properties of two modifications of the KPSS test of Kwiatkowski <italic>et al</italic>. (1992) proposed by Sul <italic>et al</italic>. (2005) and by Harris <italic>et al</italic>. (2007), using Monte Carlo simulations, in order to decide which version to use in applied research. The...

The main objective of this letter is to compare two concepts of the power of a test developed in the literature on non-nested hypotheses. Using Monte Carlo techniques it is shown that both definitions of power are asymptotically equivalent, but for small samples they differ in some cases very...

In this paper the behaviour of various non-nested hypothesis testing procedures are studied, namely the J and JA tests and the same bootstrap-adjusted tests, using graphical methods. These methods are the P value plot, the P value discrepancy plot and the size-power graph. The size and power of...