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Modification of the LM unit root test

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  • Dimitrios Vougas

Abstract

This article proposes a modified version of the Langrange Multiplier (LM) test for a unit root, which is efficient and avoids arbitrary estimation of the levels regression intercept. If required, this intercept can be estimated indirectly in the second-step autoregression. In addition to simple-hypothesis LM unit root tests, a new F-type version of the test is proposed, which is based on a joint hypothesis. Parametric augmentation is discussed in detail, and simulated new critical values are provided.

Suggested Citation

  • Dimitrios Vougas, 2007. "Modification of the LM unit root test," Applied Economics Letters, Taylor & Francis Journals, vol. 14(12), pages 913-917.
    • Handle: RePEc:taf:apeclt:v:14:y:2007:i:12:p:913-917
    DOI: 10.1080/13504850600690038
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    Cited by:

    1. Dimitrios Vougas, 2008. "Size performance of the Lagrange Multiplier (LM) unit root test in the presence of a neglected break under the null," Applied Economics Letters, Taylor & Francis Journals, vol. 15(9), pages 701-705.

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