Breaking trend, Lagrange multiplier test statistic and the presence of a unit root in the Brazilian gross domestic product

被引：2

作者：

Abras, ALG ^{[1
]}

Borges, BL ^{[1
]}

Sekkel, RM ^{[1
]}

机构：

[1] Univ Sao Paulo, BR-05508900 Sao Paulo, Brazil

来源：

APPLIED ECONOMICS LETTERS | 2004年 / 11卷 / 06期

关键词：

D O I：

10.1080/1350485042000228196

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Standard unit root tests provided mixed evidence on the stochastic behaviour of the Brazilian gross domestic product series. This study uses the minimum Lagrange multiplier statistic suggested by Lee and Strazicich to test for the presence of a unit root with two endogenously determined structural changes. Contrary to previous works utilizing endogenous break points, the authors were not able to reject the null of unit root.

引用

页码：361 / 364

页数：4

共 19 条

[1] The (in)existence of a unit root in Brazilian gross domestic product [J].