Rank tests for short memory stationarity
AbstractWe propose a rank-test of the null hypothesis of short memory stationarity possibly after linear detrending.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 172 (2013)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/jeconom
Stationarity test; Unit roots; Robustness; Rank statistics; Theil–Sen estimator; Asymptotic efficiency;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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