This paper shows numerically that the lack of power and size distortions of the Dickey-Fuller type tests for unit roots (very well documented in the unit root literature) are similar to and in many situations even smaller than the lack of power and size distorThis paper shows numerically that the lack of power and size distortions of the Dickey-Fuller type tests for unit roots (very well documented in the unit root literature) are similar to and in many situations even smaller than the lack of power and size distortions of th standard Student t tests for stationary roots of an autoregressive model.[+][-]