LM unit root test for structural break

[prakash]

Hello all, can any one let me know that is it possible to test more than two structural break in the series, using LM test, if yes than what are the critical values for it at 1, 5 and 10 % level os significance.

[TomDoan]

Hello all, can any one let me know that is it possible to test more than two structural break in the series, using LM test, if yes than what are the critical values for it at 1, 5 and 10 % level os significance.

I allowed for more than two breaks in programming the LS test since there was no added complexity to doing that. To my knowledge, no one has ever actually looked at the behavior of the test with three or more breaks, and I'm not sure it would be particularly interesting. Once the trend is so broken up, it's not likely to show the level of persistence that would give a false signal of unit-root-ness.