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
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