LM threshold unit root tests

DOI10.1016/J.ECONLET.2010.10.014MaRDI QIDQ631270zbMATH OpenOpenAlexFDO

Authors Junsoo Lee, Mark C. Strazicich, Byung Chul Yu

Publication date 22 March 2011

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2010.10.014

zbMATH Keywords

LM unit root testthreshold unit root test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Reconsidering LM unit root testing
• Unit root testing in presence of a double threshold process
• Lagrange multiplier unit root test in the presence of a break in the innovation variance
• LM tests for unit roots in the presence of missing observations: Small sample evidence
• Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root

Cites work

• A modification of the Schmidt-Phillips unit root test
• Reconsidering LM unit root testing
• Threshold models in non-linear time series analysis

Cited in

(2)

• Performance of LM-type unit root tests with trend break: a bootstrap approach
• Reconsidering LM unit root testing

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