Response surface models for the Leybourne unit root tests and lag order dependence

This paper calculates response surface models for a large range of quantiles of the Leybourne (Oxf Bull Econ Stat 57:559-571, 1995) test for the null hypothesis of a unit root against the alternative of (trend) stationarity. The response surface models allow the estimation of critical values for dif...

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Autores:

Tipo de recurso:

Fecha de publicación:

2012

Institución:

Universidad del Rosario

Repositorio:

Repositorio EdocUR - U. Rosario

Idioma:

eng

OAI Identifier:

oai:repository.urosario.edu.co:10336/23766

Acceso en línea:

https://doi.org/10.1007/s00180-011-0268-y
https://repository.urosario.edu.co/handle/10336/23766

Palabra clave:

Critical values
Lag length
Monte Carlo
P-values

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