[R-SIG-Finance] Implementation of Lee Strazicich Unit Root Test for R - Optimization
johannes.lips at gmail.com
Fri Jul 10 12:01:07 CEST 2015
I have implemented the test from Lee and Strazichich (2003, 2004) in R
and uploaded it to github. 
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
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!
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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