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

Jesús Otero; Jeremy Smith

doi:10.1007/s10614-011-9309-4

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

Jesús Otero
, Jeremy Smith

Faculty of Economics

Research output: Contribution to Journal › Research Article › peer-review

7 Scopus citations

Abstract

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.

Original language	English (US)
Pages (from-to)	1-9
Number of pages	9
Journal	Computational Economics
Volume	41
Issue number	1
DOIs	https://doi.org/10.1007/s10614-011-9309-4
State	Published - Jan 2013

All Science Journal Classification (ASJC) codes

Economics, Econometrics and Finance (miscellaneous)
Computer Science Applications

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abstract = "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.",

author = "Jes{\'u}s Otero and Jeremy Smith",

note = "Funding Information: Acknowledgments The author would like to thank M. Hashem Pesaran, Takashi Yamagata and an anonymous referee for constructive comments and suggestions that helped improve our paper. This paper was started while Jes{\'u}s Otero was a Visiting Fellow in the Department of Economics at the University of Warwick. For this, the authors thank the ESRC (RES-000-22-1686) and Universidad del Rosario for financial assistance. The usual disclaimer applies",

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N1 - Funding Information: Acknowledgments The author would like to thank M. Hashem Pesaran, Takashi Yamagata and an anonymous referee for constructive comments and suggestions that helped improve our paper. This paper was started while Jesús Otero was a Visiting Fellow in the Department of Economics at the University of Warwick. For this, the authors thank the ESRC (RES-000-22-1686) and Universidad del Rosario for financial assistance. The usual disclaimer applies

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N2 - 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.

AB - 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.

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U2 - 10.1007/s10614-011-9309-4

DO - 10.1007/s10614-011-9309-4

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AN - SCOPUS:84872603672

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JO - Computational Economics

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

Abstract

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