Response Surface Regressions for Critical Value Bounds and Approximate p‐values in Equilibrium Correction Models
Sebastian Kripfganz and
Daniel C. Schneider
Oxford Bulletin of Economics and Statistics, 2020, vol. 82, issue 6, 1456-1481
Abstract:
We consider the popular ‘bounds test’ for the existence of a level relationship in conditional equilibrium correction models. By estimating response surface models based on about 95 billion simulated F‐statistics and 57 billion t‐statistics, we improve upon and substantially extend the set of available critical values, covering the full range of possible sample sizes and lag orders, and allowing for any number of long‐run forcing variables. By computing approximate P‐values, we find that the bounds test can be easily oversized by more than 5 percentage points in small samples when using asymptotic critical values.
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (64)
Downloads: (external link)
https://doi.org/10.1111/obes.12377
Related works:
Working Paper: Response surface regressions for critical value bounds and approximate p-values in equilibrium correction models (2019) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:bla:obuest:v:82:y:2020:i:6:p:1456-1481
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0305-9049
Access Statistics for this article
Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple
More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().