Unit root tests consist of univariate and covariate tests. Univariate tests, such as the Augmented Dickey Fuller (ADF) test of Dickey and Fuller (1979), the generalized least squares ADF (DF-GLS), and the Point Optimal tests (PT) .
The second family of tests, stationarity tests, reverses the null and alternative hypotheses of the unit root tests. The stationarity test examines the null hypothesis of level or trend stationarity, I(0), against the alternative of difference stationarity, I(1).The tests most widely used are those of Kwiatkowski, Phillips, Schmidt, and Shin (1992)(KPSS). Jansson (2002) proposes two new stationarity tests that are extensions of the KPSS and Saikkonen and Luukkonen tests and dominate these tests in terms of local asymptotic
power.