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An invariant sign test for random walks based on recursive median adjustment

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  • So, Beong Soo
  • Shin, Dong Wan
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-433PD2H-3/2/7ea7bf2994dfceceddedb66b297e313c
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 102 (2001)
    Issue (Month): 2 (June)
    Pages: 197-229

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    Handle: RePEc:eee:econom:v:102:y:2001:i:2:p:197-229

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    Web page: http://www.elsevier.com/locate/jeconom

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Shin, Dong Wan & So, Beong Soo, 1999. "Unit Root Tests Based On Adaptive Maximum Likelihood Estimation," Econometric Theory, Cambridge University Press, vol. 15(01), pages 1-23, February.
    2. Peter C.B. Phillips, 1989. "Time Series Regression with a Unit Root and Infinite Variance Errors," Cowles Foundation Discussion Papers 897R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
    3. Peter C.B. Phillips & Joon Y. Park, 1998. "Asymptotics for Nonlinear Transformations of Integrated Time Series," Cowles Foundation Discussion Papers 1182, Cowles Foundation for Research in Economics, Yale University.
    4. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    5. Dufour, J.M. & Campbell, B., 1993. "Exact Nonparametric Orthogonality and Random Walk Tests," Cahiers de recherche 9326, Centre interuniversitaire de recherche en ├ęconomie quantitative, CIREQ.
    6. Seo, Byeongseon, 1999. "Distribution theory for unit root tests with conditional heteroskedasticity1," Journal of Econometrics, Elsevier, vol. 91(1), pages 113-144, July.
    7. Enders, Walter & Granger, C. W. J., 1998. "Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Staff General Research Papers 1388, Iowa State University, Department of Economics.
    8. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July.
    9. Gary Koop & Simon M. Potter, 2004. "Dynamic asymmetries in US unemployment," ESE Discussion Papers 15, Edinburgh School of Economics, University of Edinburgh.
    10. Hwang, Jaeyoun & Schmidt, Peter, 1996. "Alternative methods of detrending and the power of unit root tests," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 227-248.
    11. Shin, Dong Wan & Lee, Oesook, 2001. "Tests for Asymmetry in Possibly Nonstationary Time Series Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 233-44, April.
    12. So, Beong Soo & Shin, Dong Wan, 1999. "Recursive mean adjustment in time-series inferences," Statistics & Probability Letters, Elsevier, vol. 43(1), pages 65-73, May.
    13. Lucas, Andre, 1995. "An outlier robust unit root test with an application to the extended Nelson-Plosser data," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 153-173.
    14. Burridge, Peter & Guerre, Emmanuel, 1996. "The Limit Distribution of level Crossings of a Random Walk, and a Simple Unit Root Test," Econometric Theory, Cambridge University Press, vol. 12(04), pages 705-723, October.
    15. Herce, Miguel A., 1996. "Asymptotic Theory of LAD Estimation in a Unit Root Process with Finite Variance Errors," Econometric Theory, Cambridge University Press, vol. 12(01), pages 129-153, March.
    16. Chan, Ngai Hang & Tran, Lanh Tat, 1989. "On the First-Order Autoregressive Process with Infinite Variance," Econometric Theory, Cambridge University Press, vol. 5(03), pages 354-362, December.
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    Cited by:
    1. Kunst, R.M. & Franses, Ph.H.B.F., 2009. "Testing for seasonal unit roots in monthly panels of time series," Econometric Institute Research Papers EI 2009-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Shin, Dong Wan & Park, Sangun, 2010. "Robust panel unit root tests for cross-sectionally dependent multiple time series," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2801-2813, November.
    3. Paulo M. M. Rodrigues, 2004. "Properties of Recursive Trend-Adjusted Unit Root Tests," Economics Working Papers ECO2004/31, European University Institute.
    4. Marilena Furno, 2012. "Tests for structural break in quantile regressions," AStA Advances in Statistical Analysis, Springer, vol. 96(4), pages 493-515, October.
    5. Chang, Yoosoon, 2004. "Taking a New Contour: A Novel Approach to Panel Unit Root Tests," Working Papers 2004-05, Rice University, Department of Economics.
    6. Kunst, Robert M., 2009. "A Nonparametric Test for Seasonal Unit Roots," Economics Series 233, Institute for Advanced Studies.
    7. Luger, Richard, 2003. "Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 115(2), pages 259-276, August.
    8. Shin, Dong Wan & Park, Soo Jung & Oh, Man-Suk, 2009. "A robust sign test for panel unit roots under cross sectional dependence," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 1312-1327, February.
    9. Park, Soo Jung & Shin, Dong Wan, 2006. "A sign test for unit roots in a momentum threshold autoregressive process," Statistics & Probability Letters, Elsevier, vol. 76(10), pages 986-990, May.
    10. Oh, Yu Jin & So, Beong Soo, 2004. "Robust tests for unit roots in heterogeneous panels," Economics Letters, Elsevier, vol. 84(1), pages 35-41, July.

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