Title: Response surface models for the Elliott-Rothenberg-Stock and Leybourne unit root tests
Authors: Christopher Baum - Boston College (United States) [presenting]
Jesus Otero - Universidad del Rosario (Colombia)
Abstract: Response surface coefficients are presented for a large range of quantiles of the Elliott, Rothenberg and Stock DF-GLS and Leybourne ADFmax unit root tests, for different combinations of number of observations $T$, and lag order in the test regressions, $p$. The lag order can be either specified by the user or endogenously determined from SIC or AIC criteria or chosen by the Ng-Perron general-to-specific procedure. The critical values depend on the method used to select the number of lags, and vary considerably over $p$ and the method used. The user-contributed Stata commands ersur and adfmaxur are presented and their use illustrated with empirical examples that consider how the inference varies depending on the method used to determine lag length.