|
EconStor >
Humboldt-Universität Berlin >
Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/66302
|
| | |
Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Breitung, Jörg | | en_US |
| dc.contributor.author | | Gouriéroux, Christian | | en_US |
| dc.date.accessioned | | 2012-10-17 | | en_US |
| dc.date.accessioned | | 2012-11-19T15:23:47Z | | - |
| dc.date.available | | 2012-11-19T15:23:47Z | | - |
| dc.date.issued | | 1996 | | en_US |
| dc.identifier.pi | | urn:nbn:de:kobv:11-10075429 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/66302 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Humboldt-Universität Berlin | | en_US |
| dc.relation.ispartofseries | | Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1996,9 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.title | | Rank tests for unit roots | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 72764033X | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|