Narayan, Paresh Kumar; Popp, Stephan - In: Economics Bulletin 32 (2012) 2, pp. 1082-1090
In this note, we examine the size and power properties and the break date estimation accuracy of the Lee and Strazicich (LS, 2003) two break endogenous unit root test, based on two different break date selection methods: minimising the test statistic and minimising the sum of squared residuals...