LM threshold unit root tests

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.

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Year of publication:	2011
Authors:	Lee, Junsoo ; Strazicich, Mark C. ; Yu, Byung Chul
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 110.2011, 2, p. 113-116
Publisher:	Elsevier
Keywords:	Threshold unit root test LM unit root test

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008866961