Rank tests for short memory stationarity

DOI10.1016/j.jeconom.2012.08.020zbMath1443.62283OpenAlexW2069995130WikidataQ59234100 ScholiaQ59234100MaRDI QIDQ528124

Matteo M. Pelagatti, Pranab Kumar Sen

Publication date: 12 May 2017

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

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612002151

zbMATH Keywords

robustnessasymptotic efficiencyunit rootsrank statisticsTheil-Sen estimatorstationarity test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: hypothesis testing (62M07)

Related Items

A test of the null of integer integration against the alternative of fractional integration, Wilcoxon rank test for change in persistence, Testing stationarity of functional time series, A test for second order stationarity of a multivariate time series

Uses Software

• R
• Ox

Cites Work

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