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Original Articles

Size performance of the Lagrange Multiplier (LM) unit root test in the presence of a neglected break under the null

Pages 701-705 | Published online: 04 Jul 2008

References

  • Amsler , C. and Lee , J. 1995 . An LM test for a unit root in the presence of a structural change . Econometric Theory , 11 : 359 – 68 .
  • Bhargava , A. 1986 . On the theory of testing for unit roots in observed time series . Review of Economic Studies , 52 : 369 – 84 .
  • Dickey , D. A. and Fuller , W. A. 1979 . Distribution of the estimators for autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 31 .
  • Lee , J. and Strazicich , M. C. 2003 . Minimum Lagrange multiplier unit root test with two structural breaks . Review of Economics and Statistics , 85 : 1082 – 9 .
  • Leybourne , S. J. , Mills , T. C. and Newbold , P. 1998 . Spurious rejections by Dickey–Fuller tests in the presence of a break under the null . Journal of Econometrics , 87 : 191 – 203 .
  • Schmidt , P. and Phillips , P. C. B. 1992 . LM Tests for a unit root in the presence of deterministic trends . Oxford Bulletin of Economics and Statistics , 54 : 257 – 87 .
  • Schmidt , P. and Lee , J. 1991 . A modification of the Schmidt-Phillips unit root test . Economics Letters , 36 : 285 – 9 .
  • Vougas, D. (2007) Modification of the LM unit root test, Applied Economics Letters, forthcoming

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