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.