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Original Articles

Finite sample performance of Schmidt–Philips unit root tests

Pages 129-132 | Received 11 Nov 1996, Published online: 02 Nov 2006
 

Abstract

The finite sample performance is investigated for two versions of the Lagrange multiplier (LM) unit root tests. It is found that the correct size of the augmented tests is obtained at the expense of the power, while the reasonable power of the transformed tests reflects the size distortions under the null hypothesis.

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