Caner, Mehmet; Kilian, Lutz - 1999 - First Draft: March 1998, This Version: May 1, 1999
It is common in applied econometrics to test the null hypothesis of a level-stationary process against the alternative of a unit root process. We show that the use of conventional asymptotic critical values for the stationarity tests of Kwiatkowski et al. (1992) and Leybourne and McCabe (1994)...