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

✍ Scribed by Vougas, Dimitrios

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

On LM-type tests for seasonal unit roots

✍ Luis C. Nunes; Paulo M. M. Rodrigues 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 736 KB

An LM Test for a Unit Root in the Presen

✍ Christine Amsler and Junsoo Lee 📂 Article 📅 1995 🏛 Cambridge University Press 🌐 English ⚖ 944 KB

Size and power properties of powerful un

✍ Steven Cook 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 267 KB

Spurious rejections by Dickey–Fuller tes

✍ Stephen J Leybourne; Terence C. Mills; Paul Newbold 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 118 KB

TESTING FOR A UNIT ROOT IN THE PRESENCE

✍ Harris, David; Harvey, David I.; Leybourne, Stephen J.; Taylor, A.M. Robert 📂 Article 📅 2009 🏛 Cambridge University Press 🌐 English ⚖ 335 KB

On the end-point issue in unit root test

✍ Junsoo Lee 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 42 KB