Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity

DOI10.1016/S0304-4076(03)00097-6zbMath1026.62044MaRDI QIDQ1398962

Richard Luger

Publication date: 7 August 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

conditional heteroskedasticityunit rootrandom walkexact inferencemultivariate symmetry

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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A class of simple distribution-free rank-based unit root tests

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