Sebastian Kripfganz

Senior Lecturer (advanced assistant professor) in Econometrics,
University of Exeter Business School, Department of Economics

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Title and Abstract

Response surface regressions for critical value bounds and approximate p-values in equilibrium correction models

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.

Suggested Citation

Kripfganz, S., and D. C. Schneider (2020). Response surface regressions for critical value bounds and approximate p-values in equilibrium correction models. Oxford Bulletin of Economics and Statistics 82 (6), 1456-1481.

Related Work

Kripfganz, S., and D. C. Schneider (2023). ardl: Estimating autoregressive distributed lag and equilibrium correction models. Stata Journal 23 (4), 983-1019.

Authors

Sebastian Kripfganz
University of Exeter

Daniel C. Schneider
Max Planck Institute for Demographic Research

Journal Article

Oxford Bulletin of Economics and Statistics 82 (6), 1456-1481

Article DOI

10.1111/obes.12377

Stata Program

ardl