Abstract
In this article, we present response surface coefficients for a large range of
quantiles of the Elliott, Rothenberg, and Stock (1996,
Econometrica 64: 813–836) unit-root tests, for different
combinations of number of observations, T, and lag order in the
test regressions, p, where the latter can either be specified
by the user or be endogenously determined. The critical values depend on the
method used to select the number of lags. We present the command
