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 language | English |
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Pages (from-to) | 1082-1090 |
Number of pages | 9 |
Journal | Economics Bulletin |
Volume | 32 |
Issue number | 2 |
Publication status | Published - 2012 |
Externally published | Yes |