Modification of the LM unit root test

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.