Minimum Lagrange Multiple Unit Root Test With Two Structural Breaks
- 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: The endogenous two-break unit root test of Lumsdaine and Papell is derived assuming no structural breaks under the null. Thus, rejection of the null does not necessarily imply rejection of a unit root per se, but may imply rejection of a unit root without break. Similarly, the alternative does not necessarily imply trend stationarity with breaks, but may indicate a unit root with breaks. In this paper, we propose an endogenous two-break Lagrange multiplier unit root test that allows for breaks under both the null and alternative hypotheses. As a result, rejection of the null unambiguously implies trend stationarity.
Minimum Lagrange Multiple Unit Root Test With Two Structural Breaks
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Created on 6/12/2013
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Additional Information
- Publication
- Lee, J. & Strazicich, M.C. (2003). Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks. Review of Economics and Statistics, 85(4): 1082-1089 (Nov 2003). Published by MIT Press (ISSN: 0034-6535). Original version available at: http://www.mitpressjournals.org/loi/rest
- Language: English
- Date: 2003