Minimum Lagrange multiplier unit root test with two structural breaks
Abbreviated Journal Title
Rev. Econ. Stat.
TIME-SERIES REGRESSION; OIL-PRICE SHOCK; GREAT CRASH; DETERMINISTIC; TRENDS; HYPOTHESIS; MODELS; Economics; Social Sciences, Mathematical Methods
The endogenous two-break unit root test of Lumsdaine and Papell is derived assuming no structural breaks under the null. Thus, rejection of the null does not necessarily imply rejection of a unit root per se, but may imply rejection of a unit root without break. Similarly, the alternative does not necessarily imply trend stationarity with breaks, but may indicate a unit root with breaks. In this paper, we propose an endogenous two-break Lagrange multiplier unit root test that allows for breaks under both the null and alternative hypotheses. As a result, rejection of the null unambiguously implies trend stationarity.
Review of Economics and Statistics
"Minimum Lagrange multiplier unit root test with two structural breaks" (2003). Faculty Bibliography 2000s. 3880.