Critical Values for IPS Panel Unit Root Tests: A Response Surface Analysis

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Abstract

The paper develops an algorithm to generate the critical values through Monte Carlo simulations which will be computationally efficient as opposed to the traditional simulation techniques used in the earlier panel unit root studies. The results from the simulation experiments are used to construct the response surface regressions in which the critical values depend on both cross-sectional and time units. The predictability of the response surface regressions is compared with reported IPS critical values. The usefulness of these results is illustrated through an empirical example of purchasing power parity test.
Original languageEnglish
Publication statusPublished - 2002
EventThe 31st Australian Conference of Economists - Adelaide, Australia
Duration: 30 Sep 20023 Oct 2002

Conference

ConferenceThe 31st Australian Conference of Economists
Abbreviated titleACE 2002
CountryAustralia
CityAdelaide
Period30/09/023/10/02

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Surface analysis
Purchasing
Experiments
Monte Carlo simulation

Cite this

Rajaguru, G. (2002). Critical Values for IPS Panel Unit Root Tests: A Response Surface Analysis. The 31st Australian Conference of Economists, Adelaide, Australia.
Rajaguru, Gulasekaran. / Critical Values for IPS Panel Unit Root Tests: A Response Surface Analysis. The 31st Australian Conference of Economists, Adelaide, Australia.
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abstract = "The paper develops an algorithm to generate the critical values through Monte Carlo simulations which will be computationally efficient as opposed to the traditional simulation techniques used in the earlier panel unit root studies. The results from the simulation experiments are used to construct the response surface regressions in which the critical values depend on both cross-sectional and time units. The predictability of the response surface regressions is compared with reported IPS critical values. The usefulness of these results is illustrated through an empirical example of purchasing power parity test.",
author = "Gulasekaran Rajaguru",
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note = "The 31st Australian Conference of Economists, ACE 2002 ; Conference date: 30-09-2002 Through 03-10-2002",

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Rajaguru, G 2002, 'Critical Values for IPS Panel Unit Root Tests: A Response Surface Analysis' The 31st Australian Conference of Economists, Adelaide, Australia, 30/09/02 - 3/10/02, .

Critical Values for IPS Panel Unit Root Tests: A Response Surface Analysis. / Rajaguru, Gulasekaran.

2002. The 31st Australian Conference of Economists, Adelaide, Australia.

Research output: Contribution to conferencePresentationResearchpeer-review

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T1 - Critical Values for IPS Panel Unit Root Tests: A Response Surface Analysis

AU - Rajaguru, Gulasekaran

PY - 2002

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N2 - The paper develops an algorithm to generate the critical values through Monte Carlo simulations which will be computationally efficient as opposed to the traditional simulation techniques used in the earlier panel unit root studies. The results from the simulation experiments are used to construct the response surface regressions in which the critical values depend on both cross-sectional and time units. The predictability of the response surface regressions is compared with reported IPS critical values. The usefulness of these results is illustrated through an empirical example of purchasing power parity test.

AB - The paper develops an algorithm to generate the critical values through Monte Carlo simulations which will be computationally efficient as opposed to the traditional simulation techniques used in the earlier panel unit root studies. The results from the simulation experiments are used to construct the response surface regressions in which the critical values depend on both cross-sectional and time units. The predictability of the response surface regressions is compared with reported IPS critical values. The usefulness of these results is illustrated through an empirical example of purchasing power parity test.

M3 - Presentation

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Rajaguru G. Critical Values for IPS Panel Unit Root Tests: A Response Surface Analysis. 2002. The 31st Australian Conference of Economists, Adelaide, Australia.