Semiparametrically point-optimal hybrid rank tests for unit roots
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Publication:2328053
DOI10.1214/18-AOS1758zbMATH Open1469.62330arXiv1806.09304OpenAlexW3105242480MaRDI QIDQ2328053FDOQ2328053
Authors: Yanyan Li 
Publication date: 9 October 2019
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: We propose a new class of unit root tests that exploits invariance properties in the Locally Asymptotically Brownian Functional limit experiment associated to the unit root model. The invariance structures naturally suggest tests that are based on the ranks of the increments of the observations, their average, and an assumed reference density for the innovations. The tests are semiparametric in the sense that they are valid, i.e., have the correct (asymptotic) size, irrespective of the true innovation density. For a correctly specified reference density, our test is point-optimal and nearly efficient. For arbitrary reference densities, we establish a Chernoff-Savage type result, i.e., our test performs as well as commonly used tests under Gaussian innovations but has improved power under other, e.g., fat-tailed or skewed, innovation distributions. To avoid nonparametric estimation, we propose a simplified version of our test that exhibits the same asymptotic properties, except for the Chernoff-Savage result that we are only able to demonstrate by means of simulations.
Full work available at URL: https://arxiv.org/abs/1806.09304
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Cited In (10)
- Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
- Semiparametrically point-optimal hybrid rank tests for unit roots
- Semiparametric testing with highly persistent predictors
- Rank tests for unit roots
- Semiparametrically optimal cointegration test
- ROBUST TESTS OF THE UNIT ROOT HYPOTHESIS SHOULD NOT BE “MODIFIED”
- Rank tests of unit root hypothesis with infinite variance errors
- Rank Based Dickey–Fuller Test Statistics
- An inverted beta approximation to a MPI unit root test
- A class of simple distribution-free rank-based unit root tests
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