Otero, Jesús and Smith, Jeremy (Jeremy P.) (2012) Response surface models for the Leybourne unit root tests and lag order dependence. Computational Statistics, Vol.27 (No.3). pp. 473-486. ISSN 0943-4062

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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:	Submitted Journal Article
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
Date:	September 2012
Volume:	Vol.27
Number:	No.3
Page Range:	pp. 473-486
Identification Number:	10.1007/s00180-011-0268-y
Status:	Peer Reviewed
Publication Status:	Published
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URI:	http://wrap.warwick.ac.uk/id/eprint/39077

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