Rank tests of unit root hypothesis with infinite variance errors

DOI10.1016/S0304-4076(01)00050-1MaRDI QIDQ5944500zbMATH OpenFDO

Authors Mohammad N. Hasan

Publication date 16 December 2003

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

Full work available at URL https://doi.org/10.1016/S0304-4076(01)00050-1

zbMATH Keywords

\(\alpha\)-stable processquantile regressionregression rank scoreunit root tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Robust Rank Tests of the Unit Root Hypothesis
• A class of simple distribution-free rank-based unit root tests
• UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
• Rank tests for unit roots
• Semiparametrically point-optimal hybrid rank tests for unit roots

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• Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter
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• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
• Parameter estimation for ARMA models with infinite variance innovations
• RANK TESTS FOR SERIAL DEPENDENCE
• Regression Quantiles
• Regression rank scores and regression quantiles
• Robust Rank Tests of the Unit Root Hypothesis
• Tests of linear hypotheses based on regression rank scores
• The Efficiency of Some Nonparametric Competitors of the $t$-Test
• The integrated periodogram for stable processes
• Time Series Regression with a Unit Root

Cited in

(14)

• Rank tests for unit roots
• A Gini-based unit root test
• Semiparametrically point-optimal hybrid rank tests for unit roots
• Unit root quantile autoregression testing using covariates
• Unit root bootstrap tests under infinite variance
• A Note on Unit Root Tests with Infinite Variance Noise
• Robust Rank Tests of the Unit Root Hypothesis
• UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
• Exploiting infinite variance through dummy variables in nonstationary autoregressions
• Nonstationary linear processes with infinite variance GARCH errors
• ROBUST TESTS OF THE UNIT ROOT HYPOTHESIS SHOULD NOT BE “MODIFIED”
• Inference on nonstationary heavy-tailed AR processes via model selection
• Self-weighted estimation for nonstationary processes with infinite variance GARCH errors
• A class of simple distribution-free rank-based unit root tests

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Uses Software

• AS 229

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