GLOSSARY ENTRY (DERIVED FROM QUESTION BELOW) | ||||||
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06:00 Aug 1, 2004 |
Spanish to English translations [PRO] Science - Mathematics & Statistics / Econometrics | |||||||
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| Selected response from: Margarita Palatnik (X) Local time: 04:55 | ||||||
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5 | McKinnon response surface tables |
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Discussion entries: 1 | |
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McKinnon response surface tables Explanation: (1) Test for a unit root in the level, and in the …rst di¤erence, of each ofthe three series using the augmented Dickey-Fuller test, including a trend andintercept, or including only an intercept as you think necessary. Determinethe lag length required for each test for each series by one of the two methodsdescribed in the lectures (minimised information criterion or t-test on longestlag). You may start with 4 lags. Note, EVIEWS 4 now has an option toautomatically select lag length using the SIC criterion. It also uses McKinnon’sresponse surface estimates of tail probabilities. James G. MacKinnon, "Numerical distribution functions for unit root and cointegration tests," Journal of Applied Econometrics, 11, 1996, 601-618. (Get the programs and files of response surface coefficients for this paper.) [PDF] ECONOMETRICS 2 2003/4 Coursework #2: 10% of …nal mark for this ... ... It also uses McKinnon’s response surface estimates of tail probabilities. Present your test results in tables containing (at least) variable being tested ... www.staff.city.ac.uk/p.burridge/ec3002cw2mar04.PDF |
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