Robust Rank Tests of the Unit Root Hypothesis
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Publication:4339084
DOI10.2307/2171816zbMath0871.62072OpenAlexW1980626227MaRDI QIDQ4339084
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Publication date: 8 October 1997
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2171816
time seriesBrownian motionrank testsOrnstein-Uhlenbeck processquantile regressionunit root hypothesisADF testsregression rank score process
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Sign tests for long-memory time series ⋮ Regression quantiles for unstable autoregressive models ⋮ RANK TESTS FOR INSTRUMENTAL VARIABLES REGRESSION WITH WEAK INSTRUMENTS ⋮ Quantile cointegrating regression ⋮ Unit root quantile autoregression testing using covariates ⋮ A Note on Unit Root Tests with Infinite Variance Noise ⋮ A smooth block bootstrap for quantile regression with time series ⋮ Extremal quantile autoregression for heavy-tailed time series ⋮ Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity ⋮ Rank test of unit‐root hypothesis with AR‐GARCH errors ⋮ New tests for unit roots in autoregressive processes with possibly infinite variance errors ⋮ Inference for spatial autoregressive models with infinite variance noises ⋮ Rank tests of unit root hypothesis with infinite variance errors ⋮ Statistical Adequacy and the Testing of Trend Versus Difference Stationarity ⋮ A class of simple distribution-free rank-based unit root tests ⋮ PARTIALLY LINEAR MODELS WITH UNIT ROOTS ⋮ Quantile inference for nonstationary processes with infinite variance innovations ⋮ Network quantile autoregression ⋮ Empirically relevant critical values for hypothesis tests: A bootstrap approach ⋮ Testing for a unit root in a nonlinear quantile autoregression framework ⋮ Asymptotics of tests for a unit root in autoregression ⋮ UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS
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