Final modification of the LM unit root test

Dimitrios Vougas

Applied Economics Letters, 2008, vol. 15, issue 13, 1007-1009

Abstract: This article proposes a modified version of the LM unit root test, which is efficient and independent from the levels regression intercept, under both null and alternative hypotheses. Simulated critical values are provided.

Date: 2008
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DOI: 10.1080/13504850600972345

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