Show simple item record

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

dc.contributor.authorKripfganz, S
dc.contributor.authorSchneider, DC
dc.date.accessioned2020-07-13T11:45:22Z
dc.date.issued2020-07-09
dc.description.abstractWe 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.en_GB
dc.identifier.citationPublished online 09 July 2020en_GB
dc.identifier.doi10.1111/obes.12377
dc.identifier.urihttp://hdl.handle.net/10871/121916
dc.language.isoenen_GB
dc.publisherWileyen_GB
dc.rights© The Author(s). Open Access. This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made. en_GB
dc.titleResponse Surface Regressions for Critical Value Bounds and Approximate p‐values in Equilibrium Correction Modelsen_GB
dc.typeArticleen_GB
dc.date.available2020-07-13T11:45:22Z
dc.identifier.issn0305-9049
exeter.article-numberobes.12377en_GB
dc.descriptionThis is the final version. Available on open access from Wiley via the DOI in this record. en_GB
dc.identifier.journalOxford Bulletin of Economics and Statisticsen_GB
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/en_GB
rioxxterms.versionVoRen_GB
rioxxterms.typeJournal Article/Reviewen_GB
refterms.dateFCD2020-07-13T10:54:17Z
refterms.versionFCDVoR
refterms.dateFOA2020-07-13T11:45:30Z
refterms.panelCen_GB
refterms.depositExceptionpublishedGoldOA
refterms.depositExceptionExplanationhttps://onlinelibrary.wiley.com/doi/full/10.1111/obes.12377?af=R


Files in this item

Name:
obes.12377.pdf
Size:
840.1Kb
Format:
PDF
View/Open

This item appears in the following Collection(s)

Show simple item record

© The Author(s). Open Access. This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made. 
Except where otherwise noted, this item's licence is described as © The Author(s). Open Access. This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.