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Rank tests for short memory stationarity

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Author Info

  • Pelagatti, Matteo M.
  • Sen, Pranab K.

Abstract

We propose a rank-test of the null hypothesis of short memory stationarity possibly after linear detrending.

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File URL: http://www.sciencedirect.com/science/article/pii/S0304407612002151
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 172 (2013)
Issue (Month): 1 ()
Pages: 90-105

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Handle: RePEc:eee:econom:v:172:y:2013:i:1:p:90-105

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

Related research

Keywords: Stationarity test; Unit roots; Robustness; Rank statistics; Theil–Sen estimator; Asymptotic efficiency;

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References

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  1. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  2. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
  3. Jong, R.M. de & Davidson, J., 1996. "Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices," Discussion Paper 1996-52, Tilburg University, Center for Economic Research.
  4. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
  5. Yoshihara, Ken-ichi, 1995. "The Bahadur representation of sample quantiles for sequences of strongly mixing random variables," Statistics & Probability Letters, Elsevier, vol. 24(4), pages 299-304, September.
  6. de Jong, Robert M. & Amsler, Christine & Schmidt, Peter, 2007. "A robust version of the KPSS test based on indicators," Journal of Econometrics, Elsevier, vol. 137(2), pages 311-333, April.
  7. Breitung, Jorg & Gourieroux, Christian, 1997. "Rank tests for unit roots," Journal of Econometrics, Elsevier, vol. 81(1), pages 7-27, November.
  8. Nyblom, Jukka & Harvey, Andrew, 1999. "Tests of Common Stochastic Trends," Cambridge Working Papers in Economics 9902, Faculty of Economics, University of Cambridge.
  9. Allen Fleishman, 1978. "A method for simulating non-normal distributions," Psychometrika, Springer, vol. 43(4), pages 521-532, December.
  10. repec:cup:cbooks:9780521496032 is not listed on IDEAS
  11. Bruno Bosco & Lucia Parisio & Matteo Pelagatti & Fabio Baldi, 2010. "Long-run relations in european electricity prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(5), pages 805-832.
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Citations

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Cited by:
  1. Horváth, Lajos & Kokoszka, Piotr & Rice, Gregory, 2014. "Testing stationarity of functional time series," Journal of Econometrics, Elsevier, vol. 179(1), pages 66-82.

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