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)
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.

Additional Information

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

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