The DOI matches its Crossref record; 30 of the 30 references it cites were found in a registry or an index.
Response Surface Regressions for Critical Value Bounds and Approximate p‐values in Equilibrium Correction Models1
Open accessAbstract
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.
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Cites
Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
Dickey, D. A., & Fuller, W. A. (1979) · Journal of the American Statistical Association · doi:10.1080/01621459.1979.10482531 · Cited by 23,211
Bounds testing approaches to the analysis of level relationships
Pesaran, M. H., Shin, Y., & Smith, R. J. (2001) · Journal of Applied Econometrics · doi:10.1002/jae.616 · Cited by 20,385
Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
Dickey, D. A., & Fuller, W. A. (1981) · Econometrica · doi:10.2307/1912517 · Cited by 14,606
Distribution of the Estimators for Autoregressive Time Series With a Unit Root
Dickey, D. A., & Fuller, W. A. (1979) · Journal of the American Statistical Association · doi:10.2307/2286348 · Cited by 9,106
The saving and investment nexus for China: evidence from cointegration tests
Narayan, P. K. (2005) · Applied Economics · doi:10.1080/00036840500278103 · Cited by 3,499
Testing for unit roots in autoregressive-moving average models of unknown order
SAID, S. E., & DICKEY, D. A. (1984) · Biometrika · doi:10.1093/biomet/71.3.599 · Cited by 3,418
Numerical distribution functions for unit root and cointegration tests
MacKinnon, J. G. (1996) · Journal of Applied Econometrics · doi:10.1002/(sici)1099-1255(199611)11:6<601::aid-jae417>3.0.co;2-t · Cited by 3,081
Critical Values for Cointegration Tests
MacKinnon, J. G., & MacKinnon, J. G. (2010) · RePEc: Research Papers in Economics · doi:10.22004/ag.econ.273723 · Cited by 2,569
Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework
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Cited by
Abbasi, K. R., Shahbaz, M., Zhang, J., Irfan, M., & Alvarado, R. (2022) · Renewable Energy · doi:10.1016/j.renene.2022.01.066 · Cited by 848
Abbasi, K. R., Adedoyin, F. F., Abbas, J., & Hussain, K. (2021) · Renewable Energy · doi:10.1016/j.renene.2021.08.078 · Cited by 312
ardl: Estimating autoregressive distributed lag and equilibrium correction models
Kripfganz, S., & Schneider, D. C. (2023) · The Stata Journal: Promoting communications on statistics and Stata · doi:10.1177/1536867x231212434 · Cited by 299
Self-citationMohamed, J., Abdi, M. J., Mohamed, A. I., Muhumed, M. A., Abdeeq, B. A., Abdi, A. A., Abdilahi, M. M., & Ali, D. A. (2024) · Journal of Health, Population and Nutrition · doi:10.1186/s41043-024-00557-9 · Cited by 16
Metadata
- Authors
- Kripfganz, S., & Schneider, D. C.
- Venue
- Oxford Bulletin of Economics and Statistics
- Publisher
- Wiley
- Published
- 2020-07-09
- Volume
- 82
- Issue
- 6
- Pages
- 1456-1481
- ISSN
- 0305-9049 (ISSN-L)
- 1468-0084
- OpenAlex
- W2918560367
- Cited by
- 339
- References
- 30
- FWCI
- 72.48
- Type
- journal article
- Language
- en
- Open access
- hybrid
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- Kripfganz, S., & Schneider, D. C. (2020). Response Surface Regressions for Critical Value Bounds and Approximate p‐values in Equilibrium Correction Models1. Oxford Bulletin of Economics and Statistics. https://doi.org/10.1111/obes.12377
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