Minimum LM unit root test with one structural break

Junsoo Lee () and Mark Strazicich ()

Economics Bulletin, 2013, vol. 33, issue 4, 2483-2492

Abstract: In this paper, we consider the minimum Lagrange Multiplier (LM) unit root test with one structural break in intercept and trend. This paper complements the earlier work of Lee and Strazicich (2003), who consider the minimum LM unit root test with two breaks. The asymptotic properties are derived, critical values are provided, and size and power properties are examined. The one-break minimum LM unit root test is valid in the presence of a break under the null and alternative hypotheses and is free of spurious rejections.

Keywords: Lagrange Multiplier; Unit Root Test; Structural Break; and Endogenous Break (search for similar items in EconPapers)
JEL-codes: C1 C2 (search for similar items in EconPapers)
Date: 2013-10-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (95)

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2013/Volume33/EB-13-V33-I4-P234.pdf (application/pdf)

Related works:
Working Paper: Minimum LM Unit Root Test with One Structural Break (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-13-00296

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().