Rank Tests for Unit Roots
dc.contributor.author | Breitung, Jörg | |
dc.contributor.author | Gouriéroux, Christian | |
dc.date.accessioned | 2017-06-15T22:23:30Z | |
dc.date.available | 2017-06-15T22:23:30Z | |
dc.date.created | 2007-02-21 | |
dc.date.issued | 2007-02-21 | |
dc.identifier.issn | 1436-1086 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/4517 | |
dc.description.abstract | 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. | eng |
dc.language.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject.ddc | 330 Wirtschaft | |
dc.title | Rank Tests for Unit Roots | |
dc.type | book | |
dc.identifier.urn | urn:nbn:de:kobv:11-10075429 | |
dc.identifier.doi | http://dx.doi.org/10.18452/3865 | |
local.edoc.pages | 29 | |
local.edoc.type-name | Buch | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
local.edoc.container-year | 1996 | |
dc.identifier.zdb | 2135319-0 | |
bua.series.name | Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes | |
bua.series.issuenumber | 1996,9 |