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
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
Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.