Rank tests for unit roots

Jörg Breitung; Christian Gouriéroux

doi:10.1016/S0304-4076(97)00031-6

Rank tests for unit roots

Jörg Breitung, Christian Gouriéroux

Research output: Contribution to journal › Article › peer-review

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 and Perron (1988) the test is asymptotically valid. In a Monte Carlo study the rank tests are compared with their parametric counterparts.

Original language	English
Pages (from-to)	7-27
Number of pages	21
Journal	Journal of Econometrics
Volume	81
Issue number	1
DOIs	https://doi.org/10.1016/S0304-4076(97)00031-6
Publication status	Published - 1 Jan 1997
Externally published	Yes

Keywords

Nonlinear models
Outliers
Rank tests
Unit roots

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10.1016/S0304-4076(97)00031-6

Cite this

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title = "Rank tests for unit roots",

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 and Perron (1988) the test is asymptotically valid. In a Monte Carlo study the rank tests are compared with their parametric counterparts.",

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AB - 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 and Perron (1988) the test is asymptotically valid. In a Monte Carlo study the rank tests are compared with their parametric counterparts.

KW - Nonlinear models

KW - Outliers

KW - Rank tests

KW - Unit roots

U2 - 10.1016/S0304-4076(97)00031-6

DO - 10.1016/S0304-4076(97)00031-6

M3 - Article

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SN - 0304-4076

VL - 81

SP - 7

EP - 27

JO - Journal of Econometrics

JF - Journal of Econometrics

IS - 1

ER -

Rank tests for unit roots

Abstract

Keywords

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