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...
- 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
- Rights
- License
- Abierto (Texto Completo)
| Summary: | 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 statistic. © 2011 Springer Science+Business Media, LLC. |
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