LM threshold unit root tests

C-Tier
Journal: Economics Letters
Year: 2011
Volume: 110
Issue: 2
Pages: 113-116

Authors (3)

Lee, Junsoo (University of Alabama-Tuscaloo...) Strazicich, Mark C. (Appalachian State University) Yu, Byung Chul (not in RePEc)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Abstract

We build on the threshold unit root tests in Enders and Granger (1998) and develop tests based on Lagrange Multiplier (LM) unit root tests. The asymptotic properties are derived and finite sample properties are examined in simulations.

Technical Details

RePEc Handle
repec:eee:ecolet:v:110:y:2011:i:2:p:113-116
Journal Field
General
Author Count
3
Added to Database
2026-01-25