@techreport{Breitung1996Rank,
abstract = {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.},
address = {Berlin},
author = {J\"{o}rg Breitung and Christian Gouri\'{e}roux},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {330},
language = {eng},
note = {urn:nbn:de:kobv:11-10075429},
number = {1996,9},
publisher = {Humboldt-Universit\"{a}t},
title = {Rank tests for unit roots},
type = {Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes},
url = {http://hdl.handle.net/10419/66302},
year = {1996}
}
