Arbeitspapier
Rank tests for unit roots
In order to obtain exact distributional results without imposing restrictive parametric assumptions, several rank counterparts of the Dickey-Fuller statistic are considered. In particular, a rank counterpart of the score statistic is suggested which appears to have attractive theoretical properties. Assuming i.i.d. errors, an exact test is obtained for a random walk model with drift and under assumptions similar to Phillips & Perron (1988) the test is asymptotically valid. In a Monte Carlo study the rank tests are compared with their parametric counterparts.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 1996,9
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Breitung, Jörg
Gouriéroux, Christian
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
1996
- Handle
- URN
-
urn:nbn:de:kobv:11-10075429
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Breitung, Jörg
- Gouriéroux, Christian
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 1996
Ähnliche Objekte (12)
Rank Tests for Unit Roots
GLS detrending for nonlinear unit root tests
Bayesian unit root test for panel data
An intersection test for panel unit roots
A nonparametric test for seasonal unit roots
Seasonal Unit Root Tests under Structural Breaks
Panel Tests for Unit Roots in Hours Worked
Some nonparametric tests for unit roots and cointegration
A simple panel-CADF test for unit roots
Unit root tests in three-regime SETAR models
A combined nonparametric test for seasonal unit roots
Unit root testing
Rank Tests for Unit Roots
GLS detrending for nonlinear unit root tests
Bayesian unit root test for panel data
An intersection test for panel unit roots
A nonparametric test for seasonal unit roots
Seasonal Unit Root Tests under Structural Breaks
Panel Tests for Unit Roots in Hours Worked
Some nonparametric tests for unit roots and cointegration
A simple panel-CADF test for unit roots
Unit root tests in three-regime SETAR models
A combined nonparametric test for seasonal unit roots
Unit root testing
Rank Tests for Unit Roots
GLS detrending for nonlinear unit root tests
Bayesian unit root test for panel data
An intersection test for panel unit roots
A nonparametric test for seasonal unit roots
Seasonal Unit Root Tests under Structural Breaks
Panel Tests for Unit Roots in Hours Worked
Some nonparametric tests for unit roots and cointegration
A simple panel-CADF test for unit roots
Unit root tests in three-regime SETAR models
A combined nonparametric test for seasonal unit roots