63059 20190709135423.0 doi 10.1016/j.matcom.2016.09.010 sideral 97466 ART-2017-97466 eng (orcid)0000-0002-5583-3697 Ferrer-Pérez, H. Universidad de Zaragoza A comparison of two modified stationarity tests. A Monte Carlo study 2017 Access copy available to the general public Unrestricted To specify an econometric model with time series data, it is important to determine the order of integration of the variables in the model. In this paper, using a complete set of Monte Carlo experiments, we compare the behaviour of two stationarity tests, the Xiao test (Sn) and the KPSS (Kwiatkowski, Phillips, Schmidt and Shin) test, using an alternative estimator of the long-run variance to those used in the original version of the tests, to recommend which one to use in practice. First, we compare the small sample properties of the original Sn test with those of its modified version. We conclude that this modified version has a better size versus power trade-off than the original test. So, second, we compare the finite sample properties of the modified Sn and the modified KPSS. Since the modified KPSS exhibits higher power and size, we conduct a second experiment determining the critical value of each test, in such a way that the power of both tests coincides at 0.5, and then we examine their size for some local-to-unity values. The results show that, in most cases, the performance of the modified KPSS test dominates that of the modified Sn test. info:eu-repo/grantAgreement/ES/DGA/S21 info:eu-repo/grantAgreement/ES/MICINN/ECO2009-07936 info:eu-repo/grantAgreement/ES/MICINN/ECO2015-65582 info:eu-repo/grantAgreement/ES/MICINN/ECO2016-74940-P info:eu-repo/semantics/openAccess by-nc-nd http://creativecommons.org/licenses/by-nc-nd/3.0/es/ 1.476 2017 MATHEMATICS, APPLIED 60 / 252 = 0.238 2017 Q1 T1 COMPUTER SCIENCE, SOFTWARE ENGINEERING 46 / 104 = 0.442 2017 Q2 T2 COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS 70 / 105 = 0.667 2017 Q3 T3 0.613 2017 Computer Science (miscellaneous) 2017 Q1 Theoretical Computer Science 2017 Q2 Applied Mathematics 2017 Q2 Modeling and Simulation 2017 Q2 Numerical Analysis 2017 Q3 info:eu-repo/semantics/article info:eu-repo/semantics/acceptedVersion (orcid)0000-0001-8691-1064 Ayuda, M.I. Universidad de Zaragoza (orcid)0000-0002-8601-9380 Aznar, A. Universidad de Zaragoza 4008 225 Universidad de Zaragoza Dpto. Estruc.Hª Econ.y Eco.Pb. Área Economía Aplicada 4000 415 Universidad de Zaragoza Dpto. Análisis Económico Área Fund. Análisis Económico 134 (2017), 28-36 Math. comput. simul. MATHEMATICS AND COMPUTERS IN SIMULATION 0378-4754 391147 http://zaguan.unizar.es/record/63059/files/texto_completo.pdf Postprint 56443 http://zaguan.unizar.es/record/63059/files/texto_completo.jpg?subformat=icon icon Postprint oai:zaguan.unizar.es:63059 articulos driver 2019-07-09-11:27:44 ARTICLE