LM threshold unit root tests
- ASU Author/Contributor (non-ASU co-authors, if there are any, appear on document)
- Mark Strazicich Ph.D., Professor (Creator)
- Institution
- Appalachian State University (ASU )
- Web Site: https://library.appstate.edu/
Abstract: We build on the threshold unit root tests in Enders and Granger (1998) and develop tests based on Lagrange Multiplier (LM) unit root tests. The asymptotic properties are derived and finite sample properties are examined in simulations.
LM threshold unit root tests
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Additional Information
- Publication
- Lee, J., Strazicich, M.C., & Chul Yu, B. (2011). LM Threshold Unit Root Tests. Economics Letters, 110(2): 113-116 (Feb 2011). Published by Elsevier (ISSN: 0165-1765). http://0-dx.doi.org.wncln.wncln.org/10.1016/j.econlet.2010.10.014
- Language: English
- Date: 2011