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https://hdl.handle.net/10419/66302
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Breitung, Jörg | en |
dc.contributor.author | Gouriéroux, Christian | en |
dc.date.accessioned | 2012-10-17 | - |
dc.date.accessioned | 2012-11-19T15:23:47Z | - |
dc.date.available | 2012-11-19T15:23:47Z | - |
dc.date.issued | 1996 | - |
dc.identifier.pi | urn:nbn:de:kobv:11-10075429 | en |
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 |
dc.language.iso | eng | en |
dc.publisher | |aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlin | en |
dc.relation.ispartofseries | |aSFB 373 Discussion Paper |x1996,9 | en |
dc.subject.ddc | 330 | en |
dc.title | Rank tests for unit roots | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 72764033X | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:sfb373:19969 | en |
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