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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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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License
Abierto (Texto Completo)
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oai_identifier_str oai:repository.urosario.edu.co:10336/23328
network_acronym_str EDOCUR2
network_name_str Repositorio EdocUR - U. Rosario
repository_id_str
spelling 79242814600f8be39ae-4d39-499b-a428-72be7e2a03b82020-05-26T00:01:11Z2020-05-26T00:01:11Z2017In 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—that the series of interest follows a globally stationary exponential smooth transition autoregressive process. The response surface models allow estimation of finite-sample critical values and approximate p-values for different combinations of the number of observations, T, and the lag order in the test regression, p. The latter can be either specified by the user or optimally selected using a data-dependent procedure. We present the new commands kssur and ksur and illustrate their use with an empirical example. © 2017 StataCorp LLC.application/pdf1536867Xhttps://repository.urosario.edu.co/handle/10336/23328engDPC Nederland722No. 3704Stata JournalVol. 17Stata Journal, ISSN:1536867X, Vol.17, No.3 (2017); pp. 704-722https://www.scopus.com/inward/record.uri?eid=2-s2.0-85029837682&partnerID=40&md5=3726e54df848a221286170bc117b6010Abierto (Texto Completo)http://purl.org/coar/access_right/c_abf2instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURCritical valuesKssurKsurLag lengthMonte carloNonlinear ESTAR modelsP-valuesResponse surfaceSt0493Unit-root testResponse surface models for OLS and GLS detrending-based unit-root tests in nonlinear estar modelsarticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501Otero Cardona, Jesús GilbertoSmith J.10336/23328oai:repository.urosario.edu.co:10336/233282022-05-02 07:37:16.92488https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co
dc.title.spa.fl_str_mv Response surface models for OLS and GLS detrending-based unit-root tests in nonlinear estar models
title Response surface models for OLS and GLS detrending-based unit-root tests in nonlinear estar models
spellingShingle Response surface models for OLS and GLS detrending-based unit-root tests in nonlinear estar models
Critical values
Kssur
Ksur
Lag length
Monte carlo
Nonlinear ESTAR models
P-values
Response surface
St0493
Unit-root test
title_short Response surface models for OLS and GLS detrending-based unit-root tests in nonlinear estar models
title_full Response surface models for OLS and GLS detrending-based unit-root tests in nonlinear estar models
title_fullStr Response surface models for OLS and GLS detrending-based unit-root tests in nonlinear estar models
title_full_unstemmed Response surface models for OLS and GLS detrending-based unit-root tests in nonlinear estar models
title_sort Response surface models for OLS and GLS detrending-based unit-root tests in nonlinear estar models
dc.subject.keyword.spa.fl_str_mv Critical values
Kssur
Ksur
Lag length
Monte carlo
Nonlinear ESTAR models
P-values
Response surface
St0493
Unit-root test
topic Critical values
Kssur
Ksur
Lag length
Monte carlo
Nonlinear ESTAR models
P-values
Response surface
St0493
Unit-root test
description 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—that the series of interest follows a globally stationary exponential smooth transition autoregressive process. The response surface models allow estimation of finite-sample critical values and approximate p-values for different combinations of the number of observations, T, and the lag order in the test regression, p. The latter can be either specified by the user or optimally selected using a data-dependent procedure. We present the new commands kssur and ksur and illustrate their use with an empirical example. © 2017 StataCorp LLC.
publishDate 2017
dc.date.created.spa.fl_str_mv 2017
dc.date.accessioned.none.fl_str_mv 2020-05-26T00:01:11Z
dc.date.available.none.fl_str_mv 2020-05-26T00:01:11Z
dc.type.eng.fl_str_mv article
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
dc.type.spa.spa.fl_str_mv Artículo
dc.identifier.issn.none.fl_str_mv 1536867X
dc.identifier.uri.none.fl_str_mv https://repository.urosario.edu.co/handle/10336/23328
identifier_str_mv 1536867X
url https://repository.urosario.edu.co/handle/10336/23328
dc.language.iso.spa.fl_str_mv eng
language eng
dc.relation.citationEndPage.none.fl_str_mv 722
dc.relation.citationIssue.none.fl_str_mv No. 3
dc.relation.citationStartPage.none.fl_str_mv 704
dc.relation.citationTitle.none.fl_str_mv Stata Journal
dc.relation.citationVolume.none.fl_str_mv Vol. 17
dc.relation.ispartof.spa.fl_str_mv Stata Journal, ISSN:1536867X, Vol.17, No.3 (2017); pp. 704-722
dc.relation.uri.spa.fl_str_mv https://www.scopus.com/inward/record.uri?eid=2-s2.0-85029837682&partnerID=40&md5=3726e54df848a221286170bc117b6010
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.acceso.spa.fl_str_mv Abierto (Texto Completo)
rights_invalid_str_mv Abierto (Texto Completo)
http://purl.org/coar/access_right/c_abf2
dc.format.mimetype.none.fl_str_mv application/pdf
dc.publisher.spa.fl_str_mv DPC Nederland
institution Universidad del Rosario
dc.source.instname.spa.fl_str_mv instname:Universidad del Rosario
dc.source.reponame.spa.fl_str_mv reponame:Repositorio Institucional EdocUR
repository.name.fl_str_mv Repositorio institucional EdocUR
repository.mail.fl_str_mv edocur@urosario.edu.co
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