Size performance of the Lagrange Multiplier (LM) unit root test in the presence of a neglected break under the null

Via simulation, the size of the lagrange multiplier (LM) unit root test is examined, when there is a neglected level or trend break under the null hypothesis. It is found that unlike other more popular unit root tests in the literature, the size of the LM is not distorted/inflated. Thus, rejections of the LM tests must not be viewed as spurious with respect to this issue of neglected breaks.

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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, 9, p. 701-705
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/10005468091