Response Surface Estimates of the Cross-Sectionally Augmented IPS Tests for Panel Unit Roots

Jesus Otero and Jeremy Smith

Computational Economics, 2013, vol. 41, issue 1, 9 pages

Abstract: This paper estimates response surface coefficients for a large range of quantiles of the cross-sectionally augmented IPS (CIPS) test of Pesaran ( 2007 ), for different specifications of the deterministic components. An Excel programme is available to calculate the P value associated with a CIPS test statistic. Copyright Springer Science+Business Media, LLC. 2013

Keywords: CIPS test; Monte Carlo; Unit roots; Response surface; Critical values; P values; C12; C15 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (9)

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DOI: 10.1007/s10614-011-9309-4

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