Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/66302
Authors: 
Breitung, Jörg
Gouriéroux, Christian
Year of Publication: 
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: 
Document Type: 
Working Paper

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