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| Paresh Kumar Narayan and Stephan Popp |
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| ''Comparing the small sample properties of two break Lagrange Multiplier unit root tests'' |
| ( 2012, Vol. 32 No.2 ) |
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| 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. |
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| Keywords: Lagrange Multiplier unit root test; structural breaks; break date estimation |
JEL: C1 - Econometric and Statistical Methods: General
C2 - Single Equation Models; Single Variables: General |
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| Manuscript Received : Oct 17 2010 | | Manuscript Accepted : Apr 03 2012 |
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