Final modification of the LM unit root test

This article proposes a modified version of the LM unit root test, which is efficient and independent from the levels regression intercept, under both null and alternative hypotheses. Simulated critical values are provided.

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Year of publication:	2008
Authors:	Vougas, Dimitrios
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 15.2008, 13, p. 1007-1009
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005629106