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dc.contributor.authorBreitung, Jörgen_US
dc.contributor.authorGouriéroux, Christianen_US
dc.date.accessioned2012-10-17en_US
dc.date.accessioned2012-11-19T15:23:47Z-
dc.date.available2012-11-19T15:23:47Z-
dc.date.issued1996en_US
dc.identifier.piurn:nbn:de:kobv:11-10075429en_US
dc.identifier.urihttp://hdl.handle.net/10419/66302-
dc.description.abstractIn 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.en_US
dc.language.isoengen_US
dc.publisherHumboldt-Universität Berlinen_US
dc.relation.ispartofseriesDiscussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1996,9en_US
dc.subject.ddc330en_US
dc.titleRank tests for unit rootsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn72764033Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:sfb373:19969-
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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