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Computational Statistics

, Volume 27, Issue 3, pp 473–486 | Cite as

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

  • Jesús Otero
  • Jeremy Smith
Original Paper

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.

Keywords

Monte Carlo Critical values Lag length p-values 

JEL Classification

C12 C15 

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Copyright information

© Springer-Verlag 2011

Authors and Affiliations

  1. 1.Facultad de EconomíaUniversidad del RosarioBogotáColombia
  2. 2.Department of EconomicsUniversity of WarwickCoventryUnited Kingdom

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