Response surface models for the Elliott, Rothenberg, and stock unit-root test

In this article, we present response surface coefficients for a large range of quantiles of the Elliott, Rothenberg, and Stock (1996, Econometrica 64: 813- 836) unit-root tests, for different combinations of number of observations, T, and lag order in the test regressions, p, where the latter can ei...

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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:10336/23329

Acceso en línea:

https://doi.org/10.1177/1536867X1801700413
https://repository.urosario.edu.co/handle/10336/23329

Palabra clave:

Critical values
Elliott
Ersur
Lag length
Monte Carlo
P-values
Response surface
Rothenberg
St0508
Stock
Unit-root test

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