Lee, Junsoo; Strazicich, Mark C. - Department of Economics, Appalachian State University - 2004
In this paper, we propose a minimum LM unit root test that endogenously determines a structural break in intercept and trend. Critical values are provided, and size and power properties are compared to the endogenous one-break unit root test of Zivot and Andrews (1992). Nunes, Newbold, and Kuan...