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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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
Rights
License
Abierto (Texto Completo)
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spelling 79242814600cace43ab-67b7-41c4-a43a-0b62de2513d22020-05-26T00:01:12Z2020-05-26T00:01:12Z2017In 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 either be specified by the user or be endogenously determined. The critical values depend on the method used to select the number of lags. We present the command ersur and illustrate its use with an empirical example that tests the validity of the expectations hypothesis of the term structure of interest rates. © 2017 StataCorp LLC.application/pdfhttps://doi.org/10.1177/1536867X18017004131536867Xhttps://repository.urosario.edu.co/handle/10336/23329engDPC Nederland1002No. 4985Stata JournalVol. 17Stata Journal, ISSN:1536867X, Vol.17, No.4 (2017); pp. 985-1002https://www.scopus.com/inward/record.uri?eid=2-s2.0-85041513374&doi=10.1177%2f1536867X1801700413&partnerID=40&md5=2a48c9299d5dfe85cee994eeb99072b7Abierto (Texto Completo)http://purl.org/coar/access_right/c_abf2instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURCritical valuesElliottErsurLag lengthMonte CarloP-valuesResponse surfaceRothenbergSt0508StockUnit-root testResponse surface models for the Elliott, Rothenberg, and stock unit-root testarticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501Otero Cardona, Jesús GilbertoBaum C.F.10336/23329oai:repository.urosario.edu.co:10336/233292022-05-02 07:37:16.913941https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co
dc.title.spa.fl_str_mv Response surface models for the Elliott, Rothenberg, and stock unit-root test
title Response surface models for the Elliott, Rothenberg, and stock unit-root test
spellingShingle Response surface models for the Elliott, Rothenberg, and stock unit-root test
Critical values
Elliott
Ersur
Lag length
Monte Carlo
P-values
Response surface
Rothenberg
St0508
Stock
Unit-root test
title_short Response surface models for the Elliott, Rothenberg, and stock unit-root test
title_full Response surface models for the Elliott, Rothenberg, and stock unit-root test
title_fullStr Response surface models for the Elliott, Rothenberg, and stock unit-root test
title_full_unstemmed Response surface models for the Elliott, Rothenberg, and stock unit-root test
title_sort Response surface models for the Elliott, Rothenberg, and stock unit-root test
dc.subject.keyword.spa.fl_str_mv Critical values
Elliott
Ersur
Lag length
Monte Carlo
P-values
Response surface
Rothenberg
St0508
Stock
Unit-root test
topic Critical values
Elliott
Ersur
Lag length
Monte Carlo
P-values
Response surface
Rothenberg
St0508
Stock
Unit-root test
description 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 either be specified by the user or be endogenously determined. The critical values depend on the method used to select the number of lags. We present the command ersur and illustrate its use with an empirical example that tests the validity of the expectations hypothesis of the term structure of interest rates. © 2017 StataCorp LLC.
publishDate 2017
dc.date.created.spa.fl_str_mv 2017
dc.date.accessioned.none.fl_str_mv 2020-05-26T00:01:12Z
dc.date.available.none.fl_str_mv 2020-05-26T00:01:12Z
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.doi.none.fl_str_mv https://doi.org/10.1177/1536867X1801700413
dc.identifier.issn.none.fl_str_mv 1536867X
dc.identifier.uri.none.fl_str_mv https://repository.urosario.edu.co/handle/10336/23329
url https://doi.org/10.1177/1536867X1801700413
https://repository.urosario.edu.co/handle/10336/23329
identifier_str_mv 1536867X
dc.language.iso.spa.fl_str_mv eng
language eng
dc.relation.citationEndPage.none.fl_str_mv 1002
dc.relation.citationIssue.none.fl_str_mv No. 4
dc.relation.citationStartPage.none.fl_str_mv 985
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.4 (2017); pp. 985-1002
dc.relation.uri.spa.fl_str_mv https://www.scopus.com/inward/record.uri?eid=2-s2.0-85041513374&doi=10.1177%2f1536867X1801700413&partnerID=40&md5=2a48c9299d5dfe85cee994eeb99072b7
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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