Rank tests for unit roots
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Publication:1372920
DOI10.1016/S0304-4076(97)00031-6zbMATH Open0904.62052MaRDI QIDQ1372920FDOQ1372920
Authors: Jörg Breitung, Christian Gouriéroux 
Publication date: 4 November 1997
Published in: Journal of Econometrics (Search for Journal in Brave)
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- Robust Rank Tests of the Unit Root Hypothesis
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- Rank tests of unit root hypothesis with infinite variance errors
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- Semiparametrically point-optimal hybrid rank tests for unit roots
- UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)
Cites Work
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- Testing for a unit root in time series regression
- Time Series Regression with a Unit Root
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- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
- A modification of the Schmidt-Phillips unit root test
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Cited In (25)
- Sign tests for long-memory time series
- Semiparametrically point-optimal hybrid rank tests for unit roots
- Testing for a unit root in a nonlinear quantile autoregression framework
- Some properties of exact tests for unit roots
- Nonparametric tests for unit roots and cointegration.
- Testing for unit roots in the context of misspecified logarithmic random walks.
- Records Properties of Non Stationary Time Series
- A new approach to unit root testing
- Rank tests of unit root hypothesis with infinite variance errors
- Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity
- Wilcoxon rank test for change in persistence
- Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank
- The Dickey-Fuller test for exponential random walks
- Ratio tests of a unit root
- Moment condition tests for heavy tailed time series
- Sums of exponentials of random walks with drift
- Rank Based Dickey–Fuller Test Statistics
- Characterizations of the Beta Distribution
- Rank tests for short memory stationarity
- Rank-Based Extensions of the Brock, Dechert, and Scheinkman Test
- Robust Dickey-Fuller tests based on ranks for time series with additive outliers
- Rank test for testing randomness of the technology parameters in a stochastic frontier regression model
- A class of simple distribution-free rank-based unit root tests
- Quantile inference for nonstationary processes with infinite variance innovations
- Testing for Unit Roots: 2
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