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. Attached Files Name Description MIMEType Size Downloads 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 Related Links Link Description Connect to published version (restricted access) Go to link with your DU access privileges     Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved. Versions Version Filter Type Mon, 25 Feb 2013, 09:26:13 EST Mon, 25 Feb 2013, 09:41:51 EST Mon, 25 Feb 2013, 09:44:48 EST Tue, 26 Feb 2013, 07:38:38 EST Tue, 03 Feb 2015, 13:23:18 EST Mon, 29 Jan 2018, 11:19:42 EST Filtered Full Citation counts:   Cited 0 times in TR Web of Science Cited 0 times in Scopus Search Google Scholar Access Statistics: 258 Abstract Views, 4 File Downloads  -  Detailed Statistics Created: Mon, 25 Feb 2013, 09:26:13 EST

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