Response surface models for the Elliott, Rothenberg, Stock DF-GLS unit root test

Christopher Baum and Jesus Otero

United Kingdom Stata Users' Group Meetings 2017 from Stata Users Group

Abstract: 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. The command will be of interest to applied econometricians. More generally, it illustrates how a rather cumbersome lookup table can be handled in the context of a Stata package.

Date: 2017-09-14
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Citations: View citations in EconPapers (13)

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Working Paper: Response surface models for the Elliott, Rothenberg, Stock DF-GLS unit root test (2017)
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