Response surface models for OLS and GLS detrending-based unit-root tests in nonlinear ESTAR models
Jesús Otero
Facultad de Economía
Universidad del Rosario
Bogotá, Colombia
[email protected]
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Jeremy Smith
Department of Economics
University of Warwick
Coventry, UK
[email protected]
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Abstract. In this article, we calculate response surface models for a large range of
quantiles of the Kapetanios, Shin, and Snell (2003, Journal of
Econometrics 112: 359–379) and Kapetanios and Shin (2008,
Economics Letters 100: 377–380) tests for the null hypothesis of a
unit root against the alternative—that the series of interest follows a
globally stationary exponential smooth transition autoregressive process. The
response surface models allow estimation of finite-sample critical values and
approximate p-values for different combinations of the number of
observations, T, and the lag order in the test regression, p. The
latter can be either specified by the user or optimally selected using a
data-dependent procedure. We present the new commands kssur and
ksur and illustrate their use with an empirical example.
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Jesús Otero, Jeremy Smith
View all articles with these keywords:
kssur, ksur, unit-root test, nonlinear ESTAR models, Monte Carlo, response surface, critical values, lag length, p-values
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