Robust Rank Tests of the Unit Root Hypothesis

DOI10.2307/2171816MaRDI QIDQ4339084zbMATH OpenOpenAlexFDO

Authors

Publication date 8 October 1997

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2171816

zbMATH Keywords

ADF testsBrownian motionOrnstein-Uhlenbeck processquantile regressionrank testsregression rank score processtime seriesunit root hypothesis

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

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Cited in

(31)

• Rank tests for unit roots
• Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity
• Empirically relevant critical values for hypothesis tests: A bootstrap approach
• A smooth block bootstrap for quantile regression with time series
• A Gini-based unit root test
• Asymptotics of tests for a unit root in autoregression
• Regression quantiles for unstable autoregressive models
• New tests for unit roots in autoregressive processes with possibly infinite variance errors
• Inference for spatial autoregressive models with infinite variance noises
• Quantile inference for nonstationary processes with infinite variance innovations
• Network quantile autoregression
• Semiparametrically point-optimal hybrid rank tests for unit roots
• Unit root quantile autoregression testing using covariates
• Sign tests for long-memory time series
• Extremal quantile autoregression for heavy-tailed time series
• Unit roots: a selective review of the contributions of Peter C. B. Phillips
• Rank tests for instrumental variables regression with weak instruments
• Quantile cointegrating regression
• A Note on Unit Root Tests with Infinite Variance Noise
• PARTIALLY LINEAR MODELS WITH UNIT ROOTS
• Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers
• The sensitivity of robust unit root tests
• Rank-Based Extensions of the Brock, Dechert, and Scheinkman Test
• Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
• Robust Sign Test for the Unit Root Hypothesis of Autoregression
• Rank Based Dickey–Fuller Test Statistics
• ROBUST TESTS OF THE UNIT ROOT HYPOTHESIS SHOULD NOT BE “MODIFIED”
• Testing for a unit root in a nonlinear quantile autoregression framework
• Rank tests of unit root hypothesis with infinite variance errors
• Rank test of unit‐root hypothesis with AR‐GARCH errors
• A class of simple distribution-free rank-based unit root tests

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