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Response surface models for the Leybourne unit root tests and lag order dependence
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Otero, Jesús and Smith, Jeremy (2012) Response surface models for the Leybourne unit root tests and lag order dependence. Computational Statistics, Vol.27 (No.3). pp. 473-486. doi:10.1007/s00180-011-0268-y ISSN 0943-4062.
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WRAP_Smith_9170368-ec-071111-paper_rev2.pdf - Accepted Version Embargoed item. Restricted access to Repository staff only Download (171Kb) |
Official URL: http://dx.doi.org/10.1007/s00180-011-0268-y
Abstract
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.
Item Type: | Journal Article | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Social Sciences > Economics | ||||
Library of Congress Subject Headings (LCSH): | Time-series analysis, Monte Carlo method | ||||
Journal or Publication Title: | Computational Statistics | ||||
Publisher: | Physica-Verlag GmbH und Co. | ||||
ISSN: | 0943-4062 | ||||
Official Date: | September 2012 | ||||
Dates: |
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Volume: | Vol.27 | ||||
Number: | No.3 | ||||
Page Range: | pp. 473-486 | ||||
DOI: | 10.1007/s00180-011-0268-y | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access | ||||
Date of first compliant deposit: | 18 December 2015 |
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