文章基本信息

标题：Comparing the small sample properties of two break Lagrange Multiplier unit root tests
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作者：Paresh Kumar Narayan ; Stephan Popp
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2012
卷号：32
期号：2
页码：1082-1090
出版社：Economics Bulletin
摘要：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.
关键词：Lagrange Multiplier unit root test; structural breaks; break date estimation