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Details for article 111 of 186 found articles
| Title: |
Modification of the LM unit root test |
| Author: |
Vougas, Dimitrios V. |
| Appeared in: |
Applied economics letters |
| Paging: | Volume 14 (2007) nr. 12 pages 913-917 |
| Year: |
2007-10 |
| Contents: |
This article proposes a modified version of the Langrange Multiplier (LM) test for a unit root, which is efficient and avoids arbitrary estimation of the levels regression intercept. If required, this intercept can be estimated indirectly in the second-step autoregression. In addition to simple-hypothesis LM unit root tests, a new F-type version of the test is proposed, which is based on a joint hypothesis. Parametric augmentation is discussed in detail, and simulated new critical values are provided. |
| Publisher: |
Routledge |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 111 of 186 found articles
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