"Response surface models for the Elliott, Rothenberg, and stock unit-root test"

"In this article, we present response surface coefficients for a large range of quantiles of the Elliott, Rothenberg, and Stock (1996, Econometrica 64: 813- 836) unit-root tests, for different combinations of number of observations, T, and lag order in the test regressions, p, where the latter...

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Autores Principales: Otero J., Baum C.F.
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: DPC Nederland 2017
Materias:
Acceso en línea:https://repository.urosario.edu.co/handle/10336/23329
https://doi.org/10.1177/1536867X1801700413
id ir-10336-23329
recordtype dspace
spelling ir-10336-233292020-06-03T22:15:10Z "Response surface models for the Elliott, Rothenberg, and stock unit-root test" Otero J. Baum C.F. Critical values Elliott Ersur Lag length Monte Carlo P-values Response surface Rothenberg St0508 Stock Unit-root test "In this article, we present response surface coefficients for a large range of quantiles of the Elliott, Rothenberg, and Stock (1996, Econometrica 64: 813- 836) unit-root tests, for different combinations of number of observations, T, and lag order in the test regressions, p, where the latter can either be specified by the user or be endogenously determined. The critical values depend on the method used to select the number of lags. We present the command ersur and illustrate its use with an empirical example that tests the validity of the expectations hypothesis of the term structure of interest rates. © 2017 StataCorp LLC." 2017 2020-05-26T00:01:12Z info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion 1536867X https://repository.urosario.edu.co/handle/10336/23329 https://doi.org/10.1177/1536867X1801700413 eng info:eu-repo/semantics/openAccess application/pdf DPC Nederland instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR
institution EdocUR - Universidad del Rosario
collection DSpace
language Inglés (English)
topic Critical values
Elliott
Ersur
Lag length
Monte Carlo
P-values
Response surface
Rothenberg
St0508
Stock
Unit-root test
spellingShingle Critical values
Elliott
Ersur
Lag length
Monte Carlo
P-values
Response surface
Rothenberg
St0508
Stock
Unit-root test
Otero J.
Baum C.F.
"Response surface models for the Elliott, Rothenberg, and stock unit-root test"
description "In this article, we present response surface coefficients for a large range of quantiles of the Elliott, Rothenberg, and Stock (1996, Econometrica 64: 813- 836) unit-root tests, for different combinations of number of observations, T, and lag order in the test regressions, p, where the latter can either be specified by the user or be endogenously determined. The critical values depend on the method used to select the number of lags. We present the command ersur and illustrate its use with an empirical example that tests the validity of the expectations hypothesis of the term structure of interest rates. © 2017 StataCorp LLC."
format Artículo (Article)
author Otero J.
Baum C.F.
author_facet Otero J.
Baum C.F.
author_sort Otero J.
title "Response surface models for the Elliott, Rothenberg, and stock unit-root test"
title_short "Response surface models for the Elliott, Rothenberg, and stock unit-root test"
title_full "Response surface models for the Elliott, Rothenberg, and stock unit-root test"
title_fullStr "Response surface models for the Elliott, Rothenberg, and stock unit-root test"
title_full_unstemmed "Response surface models for the Elliott, Rothenberg, and stock unit-root test"
title_sort "response surface models for the elliott, rothenberg, and stock unit-root test"
publisher DPC Nederland
publishDate 2017
url https://repository.urosario.edu.co/handle/10336/23329
https://doi.org/10.1177/1536867X1801700413
_version_ 1669098544005382144
score 11,398636