Response surfaces estimates for the Dickey-Fuller unit root test with structural breaks

Silvestre, Josep Lluı́s Carrion i; Sansó, Andreu; Ortuño, Manuel Artís

doi:10.1016/s0165-1765(99)00044-0

Cited by 9 publications

(2 citation statements)

References 8 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…All of them take the lag order into account. Further related applications of the RS methodology include Sephton (1995,2008,2017), Carrion‐i‐Silvestre, Sansó Rosselló and Artís Ortuño (1999), and Presno and López (2003).…”

mentioning

confidence: 99%

Response Surface Regressions for Critical Value Bounds and Approximate p‐values in Equilibrium Correction Models1

2020

View full text Add to dashboard Cite

We consider the popular 'bounds test' for the existence of a level relationship in conditional equilibrium correction models. By estimating response surface models based on about 95 billion simulated F-statistics and 57 billion t-statistics, we improve upon and substantially extend the set of available critical values, covering the full range of possible sample sizes and lag orders, and allowing for any number of long-run forcing variables. By computing approximate P-values, we find that the bounds test can be easily oversized by more than 5 percentage points in small samples when using asymptotic critical values. 1 McNown et al. (2018) propose a bootstrap procedure for the Pesaran et al. (2001) test that allows for conclusive inference when the test statistic falls within the two bounds. 2 Previously tabulated CVs for a small set of sample sizes can be found in Fuller (1976) and Dickey (1976) for the univariable and Banerjee, Dolado and Mestre (1998) for the multivariable setting. 3 Cook (2001) compares the response surfaces from Cheung and Lai (1995a) with those from MacKinnon (1991) and concludes that adjusting for the lag order leads to a gain in power. RS estimates for finite-sample CVs of other unit-root tests are provided by Cheung

show abstract

mentioning

confidence: 99%

Response Surface Regressions for Critical Value Bounds and Approximate p‐values in Equilibrium Correction Models1

2020

View full text Add to dashboard Cite

show abstract

“…Some finite sample critical values are also included in the sources. Response surface calibrations are available in Carrion-i-Silvestre et al (1999). Note that the relevant limiting distributions (and hence critical values) for Model 3 in the AO and IO cases (with known break date) are not the same.…”

Section: Critical Valuesmentioning

confidence: 99%

Unit Root Tests in Time Series Volume 2

Patterson¹

2012

View full text Add to dashboard Cite

Sample size, lag order and critical values of seasonal unit root tests

Harvey¹,

Dijk²

2006

Computational Statistics & Data Analysis

View full text Add to dashboard Cite

September 2003Abstract This paper presents a response surface analysis for the distributions of the popular tests for seasonal unit roots in quarterly observed time series variables developed by Hylleberg et al. (1990). Approximate asymptotic distributions are obtained, and response surface coefficients for 1%-, 5%-and 10%-level critical values are reported, permitting simple computation of accurate critical values for any sample size and lag order. Five test statistics are considered, along with five different specifications of the deterministic component in the test regression; allowance is also made for the lag order to be determined endogenously, using commonly applied selection methods. Dependence of the critical values and the probability density functions on the sample size and lag order is also investigated.

show abstract

Response surfaces estimates for the Dickey-Fuller unit root test with structural breaks

Cited by 9 publications

References 8 publications

Response Surface Regressions for Critical Value Bounds and Approximate p‐values in Equilibrium Correction Models1

Response Surface Regressions for Critical Value Bounds and Approximate p‐values in Equilibrium Correction Models1

Unit Root Tests in Time Series Volume 2

Sample size, lag order and critical values of seasonal unit root tests

Contact Info

Product

Resources

About