The name is absent



Table 1. Empirical size and power of the Bierens tests (5% level).

n = 200_________________________

n = 500_________________________

Test

B(fh)

B(m)

B(m)

B(mo)

B(m)

B(m)

B(m)

B(⅝)

(7,P)

(1.5, 0.2)

(1.5,0.3)

(2, 0.3)

_

(1.5, 0.2)

(1.5,0.3)

(2, 0.3)

_

f =

O

0.1154

0.0551

0.0457

0.0434

0.0964

0.0512

0.0484

0.0476

f =

fι

0.7920

0.7495

0.7235

0.5240

0.8550

0.8205

0.8075

0.6480

f =

f2

1.0000

1.0000

1.0000

0.9555

1.0000

1.0000

1.0000

0.9610

f =

f3

1.0000

1.0000

1.0000

0.9545

1.0000

1.0000

1.0000

0.9695

f =

f4

0.6920

0.5825

0.5270

0.4145

0.8235

0.7475

0.7100

0.5540

f =

f5

1.0000

1.0000

1.0000

0.9560

1.0000

1.0000

1.0000

0.9607

f =

fβ

1.0000

1.0000

1.0000

0.9400

1.0000

1.0000

1.0000

0.9613

f =

f7

0.7490

0.7070

0.6787

0.5103

0.8470

0.8227

0.8123

0.6660

Table 2. Empirical size and power of Marmer’s RESET test (5% level).

n = 200_______________

n = 500_______________

к = 1

к = 2

к = 3

к = 1

к = 2

к = 3

f

= 0

0.0405

0.0469

0.0510

0.0439

0.0468

0.0486

f

= fι

0.2940

0.6920

0.6935

0.4310

0.8045

0.8015

f

= f2

0.8940

0.9300

0.9305

0.9065

0.9270

0.9245

f

= f3

0.9945

0.9940

0.9960

0.9965

0.9950

0.9965

f

= f4

0.6970

0.6595

0.6325

0.8330

0.8015

0.7875

f

= f5

0.8943

0.9383

0.9377

0.9103

0.9310

0.9300

f

= fβ

1.0000

1.0000

1.0000

1.0000

1.0000

1.0000

ɪ

= f7

0.1870

0.4347

0.4507

0.3263

0.6233

0.6350

Table 3. Stationarity tests

Returns

DY

BM

EP

ADF

-24.172

-0.846

-0.710

-0.584

Phillips-Perron

-24.613

-0.858

-0.693

-0.554

KPSS_______

0.050

2.894

2.175

1.302

23



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