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

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  • Ana Luisa Abras
  • Braulio Borges
  • Rodrigo Sekkel

Abstract

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.

Suggested Citation

  • Ana Luisa Abras & Braulio Borges & Rodrigo Sekkel, 2004. "Breaking trend, Lagrange multiplier test statistic and the presence of a unit root in the Brazilian gross domestic product," Applied Economics Letters, Taylor & Francis Journals, vol. 11(6), pages 361-364.
    • Handle: RePEc:taf:apeclt:v:11:y:2004:i:6:p:361-364
    DOI: 10.1080/1350485042000228196
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    References listed on IDEAS

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    1. Perron, Pierre & Vogelsang, Timothy J., "undated". "Level Shifts and Purchasing Power Parity," Instructional Stata datasets for econometrics levshift, Boston College Department of Economics.
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    Cited by:

    1. ALTINAY, Galip, 2005. "Structural Breaks in Long-Term Turkish Macroeconomic Data,1923-2003," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 5(4).

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