This is a simulation-based warning note for practitioners who use the MGLS unit root tests in the context of structural change using different selection lag length criteria. With T=100 , we find severe oversize problems when using some criteria, while other criteria produce an undersizing...

This is a simulation-based warning note for practitioners who use the M GLS MGLS unit root tests in the context of structural change using different selection lag length criteria. With T=100 T=100 , we find severe oversize problems when using some criteria, while other criteria produce an...