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Response surface models for OLS and GLS detrending-based unit-root tests in nonlinear estar models
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Autores
Otero Cardona, Jesús Gilberto
Smith J.
Fecha
2017
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DPC Nederland
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Abstract
In 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.
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Keywords
Critical values , Kssur , Ksur , Lag length , Monte carlo , Nonlinear ESTAR models , P-values , Response surface , St0493 , Unit-root test
