Skip to main content

Testing the null of stationarity against the alternative of a unit root: an application to the Italian post-war economy

Buy Article:

$47.00 plus tax (Refund Policy)

Testing stationarity of economic time series has become a central issue in empirical economics. However, the testing procedure commonly employed, i.e. the augmented Dickey - Fuller test for a unit root (ADF test), has become the subject of rising criticism. Recently, some authors have proposed to 'revert the burden proof' by testing the null hypothesis of stationarity. Following this new line of research, this paper compares, using a set of annual time series of the post-war Italian economy, the results of the ADF test and the test recently proposed by Kwiatkowski et al. (KPSS test), where the null hypothesis is one of stationarity. A procedure which consists of combining the answers of the two tests is also considered. The evidence shows that while the ADF test strongly supports the unit root hypothesis, either the KPSS or the combined procedure provide a much less definite conclusion.
No Reference information available - sign in for access.
No Citation information available - sign in for access.
No Supplementary Data.
No Article Media
No Metrics

Document Type: Research Article

Publication date: 1996-03-01

More about this publication?
  • Access Key
  • Free content
  • Partial Free content
  • New content
  • Open access content
  • Partial Open access content
  • Subscribed content
  • Partial Subscribed content
  • Free trial content
Cookie Policy
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more