Breaking trend, Lagrange multiplier test statistic and the presence of a unit root in the Brazilian gross domestic product
AbstractStandard unit root tests provided mixed evidence on the stochastic behaviour of the Brazilian gross domestic product series. This study uses the minimum Lagrange multiplier statistic suggested by Lee and Strazicich to test for the presence of a unit root with two endogenously determined structural changes. Contrary to previous works utilizing endogenous break points, the authors were not able to reject the null of unit root.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 11 (2004)
Issue (Month): 6 ()
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