Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity
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Publication:1398962
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Cites work
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- A simple multiple variance ratio test
- An invariant sign test for random walks based on recursive median adjustment
- Concepts of nonparametric theory
- Exact Inference Methods for First-Order Autoregressive Distributed Lag Models
- Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter
- Exact Tests and Confidence sets in Linear Regressions with Autocorrelated Errors
- Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes
- On the Theory of Testing for Unit Roots in Observed Time Series
- Over-rejections in rational expectations models. A non-parametric approach to the Mankiw-Shapiro problem
- RANK TESTS FOR SERIAL DEPENDENCE
- Rank tests for unit roots
- Robust Rank Tests of the Unit Root Hypothesis
- Testing For Unit Roots: 1
- Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
- Testing for Unit Roots: 2
Cited in
(9)- Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter
- Random walks with drifts: Nonsense regression and spurious fixed-effect estimation
- Effects of non-normality on tests of random walk models against effects of non-normality
- Linearity tests under the null hypothesis of a random walk with drift
- A class of simple distribution-free rank-based unit root tests
- Sums of exponentials of random walks with drift
- An optimal test against a random walk component in a non‐orthogonal unobserved components model
- An invariant sign test for random walks based on recursive median adjustment
- Testing the random walk hypothesis through robust estimation of correlation
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