Comparing the small sample properties of two break lagrange multiplier unit root tests

Paresh Kumar Narayan, Stephan Popp

Research output: Contribution to journalArticleResearchpeer-review

Abstract

In this note, we examine the size and power properties and the break date estimation accuracy of the Lee and Strazicich (LS, 2003) two break endogenous unit root test, based on two different break date selection methods: minimising the test statistic and minimising the sum of squared residuals (SSR). Our results show that the performance of both Models A and C of the LS test are superior when one uses the minimising SSR procedure.

Original languageEnglish
Pages (from-to)1082-1090
Number of pages9
JournalEconomics Bulletin
Volume32
Issue number2
Publication statusPublished - 2012
Externally publishedYes

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