Rank tests for short memory stationarity

DOI10.1016/J.JECONOM.2012.08.020MaRDI QIDQ528124zbMATH OpenOpenAlexWikidataFDO

Authors Matteo M. Pelagatti, Pranab K. Sen

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

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)

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Cites work

• scientific article; zbMATH DE number 4064153 (Why is no real title available?)
• scientific article; zbMATH DE number 882698 (Why is no real title available?)
• scientific article; zbMATH DE number 3058304 (Why is no real title available?)
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• Consistency and asymptotic distribution of the Theil-Sen estimator
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• Convergence Criteria for Multiparameter Stochastic Processes and Some Applications
• Estimates of Regression Parameters Based on Rank Tests
• Estimates of the Regression Coefficient Based on Kendall's Tau
• Estimating Regression Coefficients by Minimizing the Dispersion of the Residuals
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Limiting behavior of U-statistics for stationary, absolutely regular processes
• Nonparametric Estimate of Regression Coefficients
• Rank tests for unit roots
• Strong laws for 𝐿- and 𝑢-statistics
• TESTS OF COMMON STOCHASTIC TRENDS
• Testing for a unit root in time series regression
• 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?
• The Bahadur representation of sample quantiles for sequences of strongly mixing random variables
• The Efficiency of Some Nonparametric Competitors of the $t$-Test

Cited in

(6)

• A robust version of the KPSS test based on indicators
• 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

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