Response Surface Estimates of the Cross-Sectionally Augmented IPS Tests for Panel Unit Roots

This paper estimates response surface coefficients for a large range of quantiles of the cross-sectionally augmented IPS (CIPS) test of Pesaran (2007), for different specifications of the deterministic components. An Excel programme is available to calculate the P value associated with a CIPS test s...

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Autores:
Tipo de recurso:
Fecha de publicación:
2013
Institución:
Universidad del Rosario
Repositorio:
Repositorio EdocUR - U. Rosario
Idioma:
eng
OAI Identifier:
oai:repository.urosario.edu.co:10336/23765
Acceso en línea:
https://doi.org/10.1007/s10614-011-9309-4
https://repository.urosario.edu.co/handle/10336/23765
Palabra clave:
CIPS test
Critical values
Monte Carlo
P values
Response surface
Unit roots
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