Dealing with the Initial Observation in the LM Unit Root Test |
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| Authors: | Hyejin Lee Dong-Yop Oh |
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| Affiliation: | Department of Information Systems, University of Texas Rio Grande Valley, Edinburg, Texas, USA |
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| Abstract: | This article proposes a linearly weighted unit root test with a new weighting scheme which reflects the trade-off in power between the ADF and LM tests regarding the initial value of a time series. Simulation results indicate that the proposed test has better power performance and works better than other available tests in the literature for a range of initial conditions. |
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| Keywords: | CDF of normal distribution Initial condition LM unit root test |
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