Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks
提出一种允许原假设和备择假设下都存在结构突变的拉格朗日乘子单位根检验，解决了现有检验中拒绝原假设可能不明确的问题，使结果明确指向趋势平稳。
The endogenous two-break unit root test of Lumsdaine and Papell is derived assuming no structural breaks under the null. Thus, rejection of the null does not necessarily imply rejection of a unit root per se, but may imply rejection of a unit root without break. Similarly, the alternative does not necessarily imply trend stationarity with breaks, but may indicate a unit root with breaks. In this paper, we propose an endogenous two-break Lagrange multiplier unit root test that allows for breaks under both the null and alternative hypotheses. As a result, rejection of the null unambiguously implies trend stationarity. © 2003 President and Fellows of Harvard College and the Massachusetts Institute of Technology.