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Response surface models for the Leybourne unit root tests and lag order dependence

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  • Jesús Otero
  • Jeremy Smith
Abstract
This paper calculates response surface models for a large range of quantiles of the Leybourne (Oxf Bull Econ Stat 57:559–571, 1995 ) test for the null hypothesis of a unit root against the alternative of (trend) stationarity. The response surface models allow the estimation of critical values for different combinations of number of observations, T, and lag order in the test regressions, p, where the latter can be either specified by the user or optimally selected using a data-dependent procedure. The results indicate that the critical values depend on the method used to select the number of lags. An Excel spreadsheet is available to calculate the p-value associated with a test statistic. Copyright Springer-Verlag 2012

Suggested Citation

  • Jesús Otero & Jeremy Smith, 2012. "Response surface models for the Leybourne unit root tests and lag order dependence," Computational Statistics, Springer, vol. 27(3), pages 473-486, September.
    • Handle: RePEc:spr:compst:v:27:y:2012:i:3:p:473-486
    DOI: 10.1007/s00180-011-0268-y
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Hector M. Nuñez and Jesús Otero, 2017. "Integration in Gasoline and Ethanol Markets in Brazil over Time and Space under the Flex-fuel Technology," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
    2. Mark J Holmes & Jesús Otero & Theodore Panagiotidis, 2018. "Climbing the property ladder: An analysis of market integration in London property prices," Urban Studies, Urban Studies Journal Limited, vol. 55(12), pages 2660-2681, September.
    3. Richard T. Baillie & Kun Ho Kim, 2015. "Local Deviations from Uncovered Interest Parity: The Role of Macroeconomic Fundamentals," Working Paper series 15-43, Rimini Centre for Economic Analysis.
    4. Galán-Gutiérrez, Juan Antonio & Martín-García, Rodrigo, 2021. "Cointegration between the structure of copper futures prices and Brexit," Resources Policy, Elsevier, vol. 71(C).
    5. Cárdenas, Jeisson & Gutiérrez, Luis H. & Otero, Jesús, 2017. "Investigating diesel market integration in France: Evidence from micro data," Energy Economics, Elsevier, vol. 63(C), pages 314-321.
    6. Sebastian Kripfganz & Daniel C. Schneider, 2020. "Response Surface Regressions for Critical Value Bounds and Approximate p‐values in Equilibrium Correction Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(6), pages 1456-1481, December.
    7. Holmes, Mark J. & Iregui, Ana María & Otero, Jesús, 2015. "Interest rate pass through and asymmetries in retail deposit and lending rates: An analysis using data from Colombian banks," Economic Modelling, Elsevier, vol. 49(C), pages 270-277.
    8. Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2017. "A Pair-wise Analysis of Intra-city Price Convergence Within the Paris Housing Market," The Journal of Real Estate Finance and Economics, Springer, vol. 54(1), pages 1-16, January.
    9. Holmes, Mark J. & Otero, Jesús & Panagiotidis, Theodore, 2015. "The expectations hypothesis and decoupling of short- and long-term US interest rates: A pairwise approach," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 301-313.
    10. Núñez, Héctor M. & Trujillo-Barrera, Andres & Etienne, Xiaoli, 2022. "Declining integration in the US natural gas market," Resources Policy, Elsevier, vol. 78(C).
    11. Nazlioglu, Saban & Lee, Junsoo, 2020. "Response surface estimates of the LM unit root tests," Economics Letters, Elsevier, vol. 192(C).
    12. Otero, Jesús & Argüello, Ricardo & Oviedo, Juan Daniel & Ramírez, Manuel, 2018. "Explaining coffee price differentials in terms of chemical markers: Evidence from a pairwise approach," Economic Modelling, Elsevier, vol. 72(C), pages 190-201.

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    More about this item

    Keywords

    Monte Carlo; Critical values; Lag length; p-values; C12; C15;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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