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| Test di Radice Unitaria di Lumsdaine-Papell con Due Rotture Strutturali× | Test di radice unitaria LM di Lee-Strazicich con due rotture strutturali× | |
|---|---|---|
| Campo | Econometria | Econometria |
| Famiglia | Hypothesis test | Hypothesis test |
| Anno di origine≠ | 1997 | 2003 |
| Ideatore≠ | Robin Lumsdaine & David Papell | Junsoo Lee & Mark Strazicich |
| Tipo≠ | Sequential two-break unit-root test | Lagrange Multiplier unit-root test with two endogenous structural breaks |
| Fonte seminale≠ | Lumsdaine, R. L., & Papell, D. H. (1997). Multiple trend breaks and the unit-root hypothesis. Review of Economics and Statistics, 79(2), 212–218. DOI ↗ | Lee, J., & Strazicich, M. C. (2003). Minimum Lagrange multiplier unit root test with two structural breaks. Review of Economics and Statistics, 85(4), 1082–1089. DOI ↗ |
| Alias | LP Test, Two-Break Unit-Root Test, Double Structural Break Unit-Root Test, Lumsdaine-Papell İki Kırılmalı Birim Kök Testi | LS Unit Root Test, Minimum LM Unit Root Test, Lee-Strazicich Two-Break Test, Lee-Strazicich LM Testi |
| Correlati | 3 | 3 |
| Sintesi≠ | The Lumsdaine-Papell test, introduced by Robin Lumsdaine and David Papell in 1997, extends the Zivot-Andrews single-break unit-root test to allow for two simultaneous structural breaks in the intercept and/or linear trend of a time series. It is widely used in macroeconomics and finance when data are suspected to have experienced two major regime shifts — such as policy changes, financial crises, or wars — and the researcher needs to determine whether the series is nonetheless integrated of order one. | The Lee-Strazicich (2003) test is a Lagrange Multiplier-based unit-root test that allows for two endogenous structural breaks under both the null and alternative hypotheses. Proposed by Junsoo Lee and Mark C. Strazicich, it corrects a fundamental flaw in earlier break-based tests such as Zivot-Andrews, where structural breaks were permitted only under the alternative. By incorporating breaks under the null, the LS test avoids spurious rejections and provides size-correct inference in the presence of level or trend shifts. |
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