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Junsoo Lee and Mark C. Strazicich
''Minimum LM unit root test with one structural break''
( 2013, Vol. 33 No.4 )
In this paper, we consider the minimum Lagrange Multiplier (LM) unit root test with one structural break in intercept and trend. This paper complements the earlier work of Lee and Strazicich (2003), who consider the minimum LM unit root test with two breaks. The asymptotic properties are derived, critical values are provided, and size and power properties are examined. The one-break minimum LM unit root test is valid in the presence of a break under the null and alternative hypotheses and is free of spurious rejections.
Keywords: Lagrange Multiplier, Unit Root Test, Structural Break, and Endogenous Break
JEL: C1 - Econometric and Statistical Methods: General
C2 - Single Equation Models; Single Variables: General
Manuscript Received : Apr 17 2013 Manuscript Accepted : Oct 04 2013

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