A class of simple distribution-free rank-based unit root tests
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Publication:737964
DOI10.1016/j.jeconom.2011.03.007zbMath1441.62718OpenAlexW3123085261MaRDI QIDQ737964
Marc Hallin, Ramon van den Akker, Bas J. M. Werker
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.03.007
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)
Related Items (6)
A Gini-based unit root test ⋮ Inference in Heavy-Tailed Nonstationary Multivariate Time Series ⋮ A simple R-estimation method for semiparametric duration models ⋮ Robust Dickey-Fuller tests based on ranks for time series with additive outliers ⋮ Semiparametrically point-optimal hybrid rank tests for unit roots ⋮ ASYMPTOTICALLY UMP PANEL UNIT ROOT TESTS—THE EFFECT OF HETEROGENEITY IN THE ALTERNATIVES
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