Response surface models for the Elliott, Rothenberg, and Stock unit-root test
Abstract. In this article, we present response surface coefficients for a large range of
quantiles of the Elliott, Rothenberg, and Stock (1996, Econometrica 64:
813–836) unit-root tests, for different combinations of number of
observations, T, and lag order in the test regressions, p, where
the latter can either be specified by the user or be endogenously determined.
The critical values depend on the method used to select the number of lags. We
present the command ersur and illustrate its use with an empirical
example that tests the validity of the expectations hypothesis of the term
structure of interest rates.
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Jesús Otero, Christopher F. Baum
View all articles with these keywords:
ersur, Elliott, Rothenberg, Stock, unit-root test, Monte Carlo, response surface, critical values, lag length, p-values
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