Comparing the small sample properties of two break Lagrange Multiplier unit root tests
Paresh Narayan () and
Stephan Popp ()
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Stephan Popp: University of Essen-Duisburg
Economics Bulletin, 2012, vol. 32, issue 2, 1082-1090
In this note, we examine the size and power properties and the break date estimation accuracy of the Lee and Strazicich (LS, 2003) two break endogenous unit root test, based on two different break date selection methods: minimising the test statistic and minimising the sum of squared residuals (SSR). Our results show that the performance of both Models A and C of the LS test are superior when one uses the minimising SSR procedure.
Keywords: Lagrange Multiplier unit root test; structural breaks; break date estimation (search for similar items in EconPapers)
JEL-codes: C1 C2 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-10-00630
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