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

DOI10.1016/j.econlet.2006.08.004zbMath1255.62237OpenAlexW2089536142MaRDI QIDQ1929815

Win Lin Chou

Publication date: 9 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.08.004

zbMATH Keywords

structural changeLagrange multiplier unit root test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (1)

Do they still matter? -- Impact of fossil fuels on electricity prices in the light of increased renewable generation

Cites Work

• Further evidence on breaking trend functions in macroeconomic variables
• Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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