Which Criticism of Dickey-Fuller (DF) -Type Tests Is Addressed by Stationarity

question 6

Multiple Choice

Which criticism of Dickey-Fuller (DF) -type tests is addressed by stationarity tests, such as the KPSS test?

• A) DF tests have low power to reject the null hypothesis of a unit root, particularly in small samples.
• B) DF tests are always over-sized.
• C) DF tests do not allow the researcher to test hypotheses about the cointegrating vector.
• D) DF tests can only find at most one cointegrating relationship.

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