Rank tests for short memory stationarity

DOI10.1016/J.JECONOM.2012.08.020zbMATH Open1443.62283OpenAlexW2069995130WikidataQ59234100 ScholiaQ59234100MaRDI QIDQ528124FDOQ528124

Pranab K. Sen, Matteo M. Pelagatti

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612002151

Recommendations

• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
• Modified stationarity tests with improved power in small samples
• A robust version of the KPSS test based on indicators
• Generalizations of the KPSS‐test for stationarity
• Rank tests for unit roots

zbMATH Keywords

asymptotic efficiencyrobustnessunit rootsstationarity testrank statisticsTheil-Sen estimator

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Asymptotic Statistics
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• The Efficiency of Some Nonparametric Competitors of the $t$-Test
• A method for simulating non-normal distributions
• Convergence Criteria for Multiparameter Stochastic Processes and Some Applications
• Testing for a unit root in time series regression
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• Title not available (Why is that?)
• Nonparametric Estimate of Regression Coefficients
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
• Rank tests for unit roots
• The Bahadur representation of sample quantiles for sequences of strongly mixing random variables
• Limiting behavior of U-statistics for stationary, absolutely regular processes
• Estimating Regression Coefficients by Minimizing the Dispersion of the Residuals
• TESTS OF COMMON STOCHASTIC TRENDS
• Estimates of the Regression Coefficient Based on Kendall's Tau
• A robust version of the KPSS test based on indicators
• Strong laws for 𝐿- and 𝑢-statistics
• Estimates of Regression Parameters Based on Rank Tests
• Consistency and asymptotic distribution of the Theil-Sen estimator
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (5)

• Testing stationarity of functional time series
• Wilcoxon rank test for change in persistence
• A test of the null of integer integration against the alternative of fractional integration
• Generalizations of the KPSS‐test for stationarity
• A test for second order stationarity of a multivariate time series

Uses Software

• R
• Ox

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