Response surface models for OLS and GLS detrending-based unit-root tests in nonlinear estar models

In this article, we calculate response surface models for a large range of quantiles of the Kapetanios, Shin, and Snell (2003, Journal of Econometrics 112: 359–379) and Kapetanios and Shin (2008, Economics Letters 100: 377–380) tests for the null hypothesis of a unit root against the alternative—tha...

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Autores:

Tipo de recurso:

Fecha de publicación:

2017

Institución:

Universidad del Rosario

Repositorio:

Repositorio EdocUR - U. Rosario

Idioma:

eng

OAI Identifier:

oai:repository.urosario.edu.co:10336/23328

Acceso en línea:

https://repository.urosario.edu.co/handle/10336/23328

Palabra clave:

Critical values
Kssur
Ksur
Lag length
Monte carlo
Nonlinear ESTAR models
P-values
Response surface
St0493
Unit-root test

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