Response surface models for the Elliott, Rothenberg, Stock DF-GLS unit root test
Christopher Baum and
Jesus Otero ()
2017 Stata Conference from Stata Users Group
We present response surface coefficients for a large range of quantiles of the Elliott, Rothenberg and Stock (Econometrica, 1996) DF-GLS unit root tests, for different combinations of the number of observations and the lag order in the test regressions, where the latter can be either specified by the user or endogenously determined. The critical values depend on the method used to select the number of lags. The Stata command ersur is presented, and its use illustrated with an empirical example that tests the validity of the expectations hypothesis of the term structure of interest rates.
New Economics Papers: this item is included in nep-ets
References: Add references at CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed
Downloads: (external link)
Working Paper: Response surface models for the Elliott, Rothenberg, Stock DF-GLS unit root test (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:boc:scon17:7
Access Statistics for this paper
More papers in 2017 Stata Conference from Stata Users Group Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().