The use of asymptotic critical values in stationarity tests against the alternative of a unit root process is known to lead to over-rejections in finite samples when the considered process is stationary but highly persistent. We claim that, in recent parametric tests, this is caused by...

The properties of a range of maximum eigenvalue and trace tests for the coin-tegrating rank of a vector autoregressive process are compared. The tests are all likelihood-ratio-type tests and operate under different assumptions regarding the deterministic part of the data generation process. The...