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Abstract
Four alternative tests for nonstationarity and stationarity are analysed in detail for a typical macro-economic time series. The analysed tests (ADF, LMSP, KPSS and G(p, q) tests) are asymptotical tests for the type of process considered. The small sample simulations reveal that the empirical sizes differ from the nominal sizes and the new proposed alternatives to the ADF test do not have bigger powers than these often used test statistics.