LM threshold unit root tests

Junsoo Lee (), Mark Strazicich () and Byung Chul Yu

Economics Letters, 2011, vol. 110, issue 2, 113-116

Abstract: We build on the threshold unit root tests in Enders and Granger (1998) and develop tests based on Lagrange Multiplier (LM) unit root tests. The asymptotic properties are derived and finite sample properties are examined in simulations.

Keywords: Threshold; unit; root; test; LM; unit; root; test (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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