Response surface estimates of the LM unit root tests

Saban Nazlioglu and Junsoo Lee ()

Economics Letters, 2020, vol. 192, issue C

Abstract: This paper provides the response surface function estimates for the LM unit root tests. They can be used effectively to obtain relevant critical values and p-values of the tests with structural changes up to three breaks, different sample sizes, and different lag orders.

Keywords: Unit root tests; Structural break; Lag order; Finite samples; Response surfaces (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:192:y:2020:i:c:s0165176520301099

DOI: 10.1016/j.econlet.2020.109136

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