The ADF–KPSS test of the joint confirmation hypothesis of unit autoregressive root

This paper analyses properties of the ADF–KPSS test of the joint confirmation hypothesis of unit autoregressive root, when used in case of short samples with possible structural changes. Firstly, the critical values of the test are calculated for small samples, and secondly, the power of the test is investigated, including the case of structural change. The results lead to the conclusion that detecting potential structural breaks and inclusion of appropriate dummies in models of statistics can be treated as a successful strategy in inference on unit autoregressive root when the ADF–KPSS test is applied.