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.

MoreLess

Year of publication:	2012
Authors:	Narayan, Paresh Kumar ; Popp, Stephan
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 32.2012, 2, p. 1082-1090
Publisher:	AccessEcon
Subject:	Lagrange Multiplier unit root test \| structural breaks \| break date estimation

More details

Extent:	application/pdf
Type of publication:	Article
Classification:	C1 - Econometric and Statistical Methods: General ; C2 - Econometric Methods: Single Equation Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011278653