Rank Based Dickey–Fuller Test Statistics

DOI10.1111/J.1467-9892.2003.00327.XMaRDI QIDQ4828161zbMATH OpenOpenAlexFDO

Authors Sung K. Ahn, Stergios Fotopoulos

Publication date 24 November 2004

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2003.00327.x

zbMATH Keywords

unit rootsBrownian motionlocal timesarcsine distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Rank tests for unit roots
• Testing for a unit root in time series regression
• Robust Rank Tests of the Unit Root Hypothesis
• Semiparametrically point-optimal hybrid rank tests for unit roots
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Cites work

• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• Rank tests for unit roots

Cited in

(4)

• The Dickey-Fuller test for exponential random walks
• Sums of exponentials of random walks with drift
• Robust Dickey-Fuller tests based on ranks for time series with additive outliers
• A class of simple distribution-free rank-based unit root tests

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