Rank tests for unit roots
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Publication:1372920
DOI10.1016/S0304-4076(97)00031-6zbMath0904.62052MaRDI QIDQ1372920
Jörg Breitung, Christian Gouriéroux
Publication date: 4 November 1997
Published in: Journal of Econometrics (Search for Journal in Brave)
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Related Items (17)
Sign tests for long-memory time series ⋮ Characterizations of the Beta Distribution ⋮ SUMS OF EXPONENTIALS OF RANDOM WALKS WITH DRIFT ⋮ Rank Based Dickey–Fuller Test Statistics ⋮ A new approach to unit root testing ⋮ Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank ⋮ Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity ⋮ Robust Dickey-Fuller tests based on ranks for time series with additive outliers ⋮ Wilcoxon rank test for change in persistence ⋮ Rank tests for short memory stationarity ⋮ Moment condition tests for heavy tailed time series ⋮ Testing for unit roots in the context of misspecified logarithmic random walks. ⋮ A class of simple distribution-free rank-based unit root tests ⋮ Quantile inference for nonstationary processes with infinite variance innovations ⋮ Records Properties of Non Stationary Time Series ⋮ Testing for a unit root in a nonlinear quantile autoregression framework ⋮ Nonparametric tests for unit roots and cointegration.
Cites Work
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- A modification of the Schmidt-Phillips unit root test
- Testing for a unit root in time series regression
- Time Series Regression with a Unit Root
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
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