LM threshold unit root tests

DOI10.1016/J.ECONLET.2010.10.014zbMath1209.62019OpenAlexW2043326769MaRDI QIDQ631270

Byung Chul Yu, Junsoo Lee, Mark C. Strazicich

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

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

Cites Work

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

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