Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks
نویسندگان
چکیده
منابع مشابه
Minimum LM Unit Root Test with Two Structural Breaks
The two-break unit root test of Lumsdaine and Papell (1997) is examined and found to suffer from bias and spurious rejections in the presence of structural breaks under the null. A two-break minimum LM unit root test is proposed as a remedy. The two-break LM test does not suffer from bias and spurious rejections and is mostly invariant to the size, location, and misspecification of the breaks. ...
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ژورنال
عنوان ژورنال: Review of Economics and Statistics
سال: 2003
ISSN: 0034-6535,1530-9142
DOI: 10.1162/003465303772815961