Sebastian Kripfganz

Lecturer (assistant professor) in Economics,
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 (2018). ardl: Estimating autoregressive distributed lag and equilibrium correction models. Proceedings of the 2018 London Stata Conference.
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
Supplements
Online appendix
Stata Program
ardl

www.kripfganz.de