Rank tests for unit roots

被引：37
|
作者：
Breitung, J
Gourieroux, C
机构：
[1] CEPREMAP,CREST,PARIS,FRANCE
[2] HUMBOLDT UNIV BERLIN,SONDERFOSCH BEREICH 373,D-1086 BERLIN,GERMANY
来源：
JOURNAL OF ECONOMETRICS | 1997年 / 81卷 / 01期
关键词：
unit roots; rank tests; outliers; nonlinear models;
D O I：
10.1016/S0304-4076(97)00031-6
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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 and Perron (1988) the test is asymptotically valid. In a Monte Carlo study the rank tests are compared with their parametric counterparts. (C) 1997 Elsevier Science S.A.
引用
收藏
页码：7 / 27
页数：21
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