Reconsidering LM unit root testing

DOI10.1080/0266476032000076010MaRDI QIDQ3591849zbMATH OpenOpenAlexFDO

Authors Dimitrios V. Vougas

Publication date 11 September 2007

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/0266476032000076010

Mathematics Subject Classification ID

Statistics (62-XX)

Recommendations

• Dealing with the initial observation in the LM unit root test
• LM threshold unit root tests
• A new approach to unit root testing
• On testing for unit roots and the initial observation
• A robust and practical method of unit root tests
• On the stability of the unit root test
• Testing for a unit root in noncausal autoregressive models

Cited in

(3)

• Performance of LM-type unit root tests with trend break: a bootstrap approach
• LM threshold unit root tests
• Response surface estimates of the LM unit root tests

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