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LM threshold unit root tests

Author

Listed:
  • Lee, Junsoo
  • Strazicich, Mark C.
  • Yu, Byung Chul

Abstract

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.

Suggested Citation

  • Lee, Junsoo & Strazicich, Mark C. & Yu, Byung Chul, 2011. "LM threshold unit root tests," Economics Letters, Elsevier, vol. 110(2), pages 113-116, February.
  • Handle: RePEc:eee:ecolet:v:110:y:2011:i:2:p:113-116
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    References listed on IDEAS

    as
    1. Dimitrios Vougas, 2003. "Reconsidering LM unit root testing," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(7), pages 727-741.
    2. Schmidt, Peter & Phillips, C B Peter, 1992. "LM Tests for a Unit Root in the Presence of Deterministic Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 257-287, August.
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