[R-SIG-Finance] Implementation of Lee Strazicich Unit Root Test for R - Optimization

Johannes Lips johannes.lips at gmail.com
Fri Jul 10 12:01:07 CEST 2015

Dear list,

I have implemented the test from Lee and Strazichich (2003, 2004) in R 
and uploaded it to github. [1]
The advantage of this test is, that it endogenously determines the dates 
of up to two possible structural breaks and
it includes these structural breaks under the null and also the 
alternative hypothesis.
I also implemented a General-to-Specific Approach to determine the 
number of lagged augmented terms to include in the test equation.
At the moment it's not very efficient in regard to computing time, so I 
would be glad if someone could point out improvements to make the code 
faster and more efficient.

Thanks in advance!

Best regards,
Johannes Lips

[1] https://github.com/hannes101/LeeStrazicichUnitRoot
Lee, Junsoo and Mark C. Strazicich (2003). “Minimum Lagrange Multiplier 
Unit Root Test with Two Structural Breaks”. In: The Review of Economics 
and Statistics 85.4, pp. 1082–1089.
Lee, Junsoo and Mark C. Strazicich (2004). “Minimum LM Unit Root Test 
with One Structural Break”. In: 04-17. url: 
https://ideas.repec.org/p/apl/wpaper/04-17.html (visited on 02/04/2015).

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