Response surface models for the Elliott, Rothenberg, and Stock unit-root test
收藏DataCite Commons2024-02-28 更新2024-07-03 收录
下载链接：
https://ageconsearch.umn.edu/record/340224
下载链接
链接失效反馈官方服务：
资源简介：
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.
提供机构：
Unknown
创建时间：
2024-02-28
