Two-Step LM Unit Root Tests with Trend-Breaks

By Junsoo Lee, Mark Strazicich, Ming Meng. 2012

86 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/cb4a24830620eab1bfee9499e995aacb6203e05f

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Citations in the corpus

• Testing the efficacy of the economic policy uncertainty index on tourism demand in USMCA: Theory and evidence (2020, methodology): “Hence, in this time series model, we apply Lee and Strazicich’s (2003) unit root test among many other alternative and interacting tests following each other (Lee et al., 2012; Meng et al., 2017; Narayan and Popp, 2010; Zivot and Andrews, 1992).”
• Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries (2017, unknown): “In order to test for structural breaks we conduct a unit root test that accounts for multiple breaks in the series as in Lee and Strazicich (2003) and Lee et al. (2012), and report our findings in Table 3.”