Response surface models for the Leybourne unit root tests and lag order dependence

Jesús Otero, Jeremy Smith

Resultado de la investigación: Contribución a RevistaArtículo

10 Citas (Scopus)

Resumen

This paper calculates response surface models for a large range of quantiles of the Leybourne (Oxf Bull Econ Stat 57:559-571, 1995) test for the null hypothesis of a unit root against the alternative of (trend) stationarity. The response surface models allow the estimation of critical values for different combinations of number of observations, T, and lag order in the test regressions, p, where the latter can be either specified by the user or optimally selected using a data-dependent procedure. The results indicate that the critical values depend on the method used to select the number of lags. An Excel spreadsheet is available to calculate the p-value associated with a test statistic. © 2011 Springer-Verlag.
Idioma originalEnglish (US)
Páginas (desde-hasta)473-486
Número de páginas14
PublicaciónComputational Statistics
DOI
EstadoPublished - sep 1 2012

Huella dactilar

Unit Root Tests
Response Surface
Critical value
Calculate
Excel
Spreadsheet
Unit Root
Spreadsheets
Dependent Data
Stationarity
p-Value
Quantile
Null hypothesis
Test Statistic
Regression
Statistics
Alternatives
Model
Range of data
Unit root tests

Citar esto

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Response surface models for the Leybourne unit root tests and lag order dependence. / Otero, Jesús; Smith, Jeremy.

En: Computational Statistics, 01.09.2012, p. 473-486.

Resultado de la investigación: Contribución a RevistaArtículo

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AU - Smith, Jeremy

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