2007-02-21Buch DOI: 10.18452/3865
Rank Tests for Unit Roots
In order to obtain exact distributional results without imposing restrictive parametric assumptions, several rank counterparts of the Dickey-Fuller statistic are considered. In particular, a rank counterpart of the score statistic is suggested which appears to have attractive theoretical properties. Assuming i.i.d. errors, an exact test is obtained for a random walk model with drift and under assumptions similar to Phillips & Perron (1988) the test is asymptotically valid. In a Monte Carlo study the rank tests are compared with their parametric counterparts.
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Is Part Of Series: Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes - 9, SFB 373 Papers, ISSN:1436-1086