Robust Rank Tests of the Unit Root Hypothesis

DOI10.2307/2171816zbMATH Open0871.62072OpenAlexW1980626227MaRDI QIDQ4339084FDOQ4339084

Authors:

Publication date: 8 October 1997

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2171816

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zbMATH Keywords

quantile regressiontime seriesOrnstein-Uhlenbeck processrank testsBrownian motionunit root hypothesisADF testsregression rank score process

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cited In (30)

• Sign tests for long-memory time series
• Empirically relevant critical values for hypothesis tests: A bootstrap approach
• Inference for spatial autoregressive models with infinite variance noises
• Extremal quantile autoregression for heavy-tailed time series
• Robust Sign Test for the Unit Root Hypothesis of Autoregression
• Semiparametrically point-optimal hybrid rank tests for unit roots
• Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
• Regression quantiles for unstable autoregressive models
• Network quantile autoregression
• New tests for unit roots in autoregressive processes with possibly infinite variance errors
• Unit root quantile autoregression testing using covariates
• Rank tests for unit roots
• Testing for a unit root in a nonlinear quantile autoregression framework
• ROBUST TESTS OF THE UNIT ROOT HYPOTHESIS SHOULD NOT BE “MODIFIED”
• Rank tests of unit root hypothesis with infinite variance errors
• Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity
• A Gini-based unit root test
• The sensitivity of robust unit root tests
• Asymptotics of tests for a unit root in autoregression
• Rank Based Dickey–Fuller Test Statistics
• PARTIALLY LINEAR MODELS WITH UNIT ROOTS
• A Note on Unit Root Tests with Infinite Variance Noise
• Quantile cointegrating regression
• Rank test of unit‐root hypothesis with AR‐GARCH errors
• Rank-Based Extensions of the Brock, Dechert, and Scheinkman Test
• Rank tests for instrumental variables regression with weak instruments
• A class of simple distribution-free rank-based unit root tests
• Quantile inference for nonstationary processes with infinite variance innovations
• Unit roots: a selective review of the contributions of Peter C. B. Phillips
• A smooth block bootstrap for quantile regression with time series

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