Size performance of the Lagrange Multiplier (LM) unit root test in the presence of a neglected break under the null

Dimitrios Vougas

Applied Economics Letters, 2008, vol. 15, issue 9, 701-705

Abstract: Via simulation, the size of the lagrange multiplier (LM) unit root test is examined, when there is a neglected level or trend break under the null hypothesis. It is found that unlike other more popular unit root tests in the literature, the size of the LM is not distorted/inflated. Thus, rejections of the LM tests must not be viewed as spurious with respect to this issue of neglected breaks.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
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:taf:apeclt:v:15:y:2008:i:9:p:701-705

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504850600722120

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().