Title

Minimum Lagrange multiplier unit root test with two structural breaks

Authors

Authors

J. Lee;M. C. Strazicich

Comments

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Abbreviated Journal Title

Rev. Econ. Stat.

Keywords

TIME-SERIES REGRESSION; OIL-PRICE SHOCK; GREAT CRASH; DETERMINISTIC; TRENDS; HYPOTHESIS; MODELS; Economics; Social Sciences, Mathematical Methods

Abstract

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.

Journal Title

Review of Economics and Statistics

Volume

85

Issue/Number

4

Publication Date

1-1-2003

Document Type

Article

Language

English

First Page

1082

Last Page

1089

WOS Identifier

WOS:000186322400025

ISSN

0034-6535

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