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Title:Rank tests for unit roots PDF Logo
Authors:Breitung, Jörg
Gouriéroux, Christian
Issue Date:1996
Series/Report no.:Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1996,9
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.
Persistent Identifier of the first edition:urn:nbn:de:kobv:11-10075429
Document Type:Working Paper
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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