Comparing the small sample properties of two break Lagrange Multiplier unit root tests

Comparing the small sample properties of two break Lagrange Multiplier unit root tests

Narayan, Paresh Kumar and Popp, Stephan 2012, Comparing the small sample properties of two break Lagrange Multiplier unit root tests, Economics bulletin, vol. 32, no. 2, pp. 1082-1090.

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Title	Comparing the small sample properties of two break Lagrange Multiplier unit root tests
Author(s)	Narayan, Paresh Kumar Popp, Stephan
Journal name	Economics bulletin
Volume number	32
Issue number	2
Start page	1082
End page	1090
Total pages	9
Publisher	Economics Bulletin
Place of publication	Nashville, Tenn.
Publication date	2012
ISSN	1545-2921
Keyword(s)	Lagrange Multiplier unit root test structural breaks break date estimation
Summary	In this note, we examine the size and power properties and the break date estimation accuracy of the Lee and Strazicich (LS, 2003) two break endogenous unit root test, based on two different break date selection methods: minimising the test statistic and minimising the sum of squared residuals (SSR). Our results show that the performance of both Models A and C of the LS test are superior when one uses the minimising SSR procedure.
Language	eng
Field of Research	150202 Financial Econometrics
Socio Economic Objective	919999 Economic Framework not elsewhere classified
HERDC Research category	C1 Refereed article in a scholarly journal
Persistent URL	http://hdl.handle.net/10536/DRO/DU:30050797

Document type:	Journal Article
Collection:	School of Accounting, Economics and Finance

Access Statistics:	26 Abstract Views, 0 File Downloads - Detailed Statistics
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