Rank Based Dickey–Fuller Test Statistics

DOI10.1111/J.1467-9892.2003.00327.XzbMATH Open1053.62097OpenAlexW1977386873MaRDI QIDQ4828161FDOQ4828161

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

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zbMATH Keywords

unit rootsBrownian motionlocal timesarcsine distribution

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• 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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