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2007-02-21Buch DOI: 10.18452/3865
Rank Tests for Unit Roots
dc.contributor.authorBreitung, Jörg
dc.contributor.authorGouriéroux, Christian
dc.date.accessioned2017-06-15T22:23:30Z
dc.date.available2017-06-15T22:23:30Z
dc.date.created2007-02-21
dc.date.issued2007-02-21
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4517
dc.description.abstractIn 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.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subject.ddc330 Wirtschaft
dc.titleRank Tests for Unit Roots
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10075429
dc.identifier.doihttp://dx.doi.org/10.18452/3865
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages29
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume1996
local.edoc.container-issue9
local.edoc.container-year1996
local.edoc.container-erstkatid2135319-0

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