Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 周文林教授 (经济学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.econlet.2006.08.004 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/0WOS source URL
其它资讯
摘要Using the bootstrap approach, we study the finite-sample properties of the Lagrange Multiplier (LM) unit root tests when level shifts are allowed under the null hypothesis. Bootstrapped critical values support the invariance property of the LM tests. Applying two LM-type tests to the Nelson-Plosser data, we find less evidence against the unit root null than that given by Zivot and Andrews [Zivot, E. and Andrews, D.W.K. (1992), "Further Evidence of the Great Crash, the Oil Price Shock and the Unit Root Hypothesis," Journal of Business and Economic Statistics 1http://aims.cuhk.edu.hk/converis/portal/Publication/0, 251-27http://aims.cuhk.edu.hk/converis/portal/Publication/0.] when level shifts are allowed under the null. (c) 2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/06 Elsevier B.V. All rights reserved.
着者Chou WL
期刊名称Economics Letters
出版年份2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/07
月份1
日期1
卷号94
期次1
出版社ELSEVIER SCIENCE SA
页次76 - 82
国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/0165-1765
电子国际标準期刊号1873-7374
语言英式英语
关键词bootstrap; Lagrange multiplier unit root test; structural change
Web of Science 学科类别Business & Economics; Economics; ECONOMICS
