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dc.creatorOtero, J. 
dc.creatorSmith, J. 
dc.date.accessioned2020-06-11T13:22:01Z
dc.date.available2020-06-11T13:22:01Z
dc.date.created2017
dc.identifier.issn1536867X
dc.identifier.urihttps://repository.urosario.edu.co/handle/10336/24989
dc.description.abstractIn this article, we calculate response surface models for a large range of quantiles of the Kapetanios, Shin, and Snell (2003, Journal of Econometrics 112: 359–379) and Kapetanios and Shin (2008, Economics Letters 100: 377–380) tests for the null hypothesis of a unit root against the alternative—that the series of interest follows a globally stationary exponential smooth transition autoregressive process. The response surface models allow estimation of finite-sample critical values and approximate p-values for different combinations of the number of observations, T, and the lag order in the test regression, p. The latter can be either specified by the user or optimally selected using a data-dependent procedure. We present the new commands kssur and ksur and illustrate their use with an empirical example. © 2017 StataCorp LLC.
dc.format.mimetypeapplication/pdf
dc.language.isoeng
dc.relation.ispartofStata Journal, ISBN: 1536867X, Vol.17, No.3 (2017); pp. 704-722
dc.relation.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85029837682&doi=10.1177%2f1536867x1701700310&partnerID=40&md5=1626f420b30286424162473cf03dc6b2
dc.sourceinstname:Universidad del Rosario
dc.sourcereponame:Repositorio Institucional EdocUR
dc.titleResponse surface models for OLS and GLS detrending-based unit-root tests in nonlinear estar models
dc.typearticle
dc.publisherDPC Nederland
dc.subject.keywordCritical values
dc.subject.keywordKssur
dc.subject.keywordKsur
dc.subject.keywordLag length
dc.subject.keywordMonte carlo
dc.subject.keywordNonlinear ESTAR models
dc.subject.keywordP-values
dc.subject.keywordResponse surface
dc.subject.keywordSt0493
dc.subject.keywordUnit-root test
dc.rights.accesRightsinfo:eu-repo/semantics/closedAccess
dc.type.spaArtículo
dc.rights.accesoBloqueado (Texto referencial)
dc.type.hasVersioninfo:eu-repo/semantics/publishedVersion
dc.relation.citationEndPage722
dc.relation.citationIssueNo. 3
dc.relation.citationStartPage704
dc.relation.citationTitleStata Journal
dc.relation.citationVolumeVol. 17


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