N=50
N=200
N=1000
Y
LRT
Score
LRT
Score
LRT
Score
0.4
X
X
X
X
1.000
1.000
0.6
X
X
0.999
0.999
1.000
1.000
0.8
X
X
0.845
0.839
1.000
1.000
1.0
0.096
0.089
0.243
0.236
0.903
0.903
1.2
0.058
0.054
0.051
0.050
0.049
0.050
1.4
0.099
0.089
0.234
0.224
0.877
0.877
1.6
X
X
0.772
0.765
1.000
1.000
1.8
X
X
X
X
1.000
1.000
Table 3:
Empirical rejection rates for tests of strict stationarity for data simulated from process (7). Empirical sizes (rejection rates when γ=1.2) more than two estimated standard errors from the nominal size (0.05) are set in bold type.
