T = 100, rep = 1000, Two-Tailed Test of $H_0:-1<{\varphi }_1<1$

DGP: $y_t=\mu +{\varphi }_1{y}_{t-1}+{ϵ}_t,{ϵ}_t~N\left(0,1\right)$

S. No.

${\varphi }_1$

Null Rejection Probability

1

0.60

0.045

2

0.70

0.043

3

0.80

0.057

4

0.90

0.052

5

0.91

0.050

6

0.92

0.053

7

0.93

0.061

8

0.94

0.058

9

0.95

0.060

10

0.96

0.059

11

0.97

0.066

12

0.98

0.063

13

0.99

0.059