Ítem
Solo Metadatos

Response surface models for OLS and GLS detrending-based unit-root tests in nonlinear estar models

Mostrar el registro sencillo de la publicación
dc.creatorOtero Cardona, Jesús Gilbertospa
dc.creatorSmith, J.spa
dc.date.accessioned2020-06-11T13:22:01Z
dc.date.available2020-06-11T13:22:01Z
dc.date.created2017spa
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.eng
dc.format.mimetypeapplication/pdf
dc.identifier.issn1536867X
dc.identifier.urihttps://repository.urosario.edu.co/handle/10336/24989
dc.language.isoeng
dc.publisherDPC Nederlandspa
dc.relation.citationEndPage722
dc.relation.citationIssueNo. 3
dc.relation.citationStartPage704
dc.relation.citationTitleStata Journal
dc.relation.citationVolumeVol. 17
dc.relation.ispartofStata Journal, ISBN: 1536867X, Vol.17, No.3 (2017); pp. 704-722spa
dc.relation.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85029837682&doi=10.1177%2f1536867x1701700310&partnerID=40&md5=1626f420b30286424162473cf03dc6b2spa
dc.rights.accesRightsinfo:eu-repo/semantics/closedAccess
dc.rights.accesoBloqueado (Texto referencial)spa
dc.source.instnameinstname:Universidad del Rosariospa
dc.source.reponamereponame:Repositorio Institucional EdocURspa
dc.subject.keywordCritical valuesspa
dc.subject.keywordKssurspa
dc.subject.keywordKsurspa
dc.subject.keywordLag lengthspa
dc.subject.keywordMonte carlospa
dc.subject.keywordNonlinear ESTAR modelsspa
dc.subject.keywordP-valuesspa
dc.subject.keywordResponse surfacespa
dc.subject.keywordSt0493spa
dc.subject.keywordUnit-root testspa
dc.titleResponse surface models for OLS and GLS detrending-based unit-root tests in nonlinear estar modelsspa
dc.typearticleeng
dc.type.hasVersioninfo:eu-repo/semantics/publishedVersion
dc.type.spaArtículospa
Archivos
Colecciones
Artículos