Robust Rank Tests of the Unit Root Hypothesis
Download full text from publisherTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- repec:hal:journl:peer-00834424 is not listed on IDEAS
- Galvao Jr., Antonio F., 2009. "Unit root quantile autoregression testing using covariates," Journal of Econometrics, Elsevier, vol. 152(2), pages 165-178, October.
- 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.
- Luger, Richard, 2001. "Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity," Staff Working Papers 01-2, Bank of Canada.
- Uwe Hassler & Paulo M.M. Rodrigues & Antonio Rubia, 2016.
"Quantile Regression for Long Memory Testing: A Case of Realized Volatility,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 14(4), pages 693-724.
- Uwe Hassler & Paulo M.M. Rodrigues & Antonio Rubia, 2012. "Quantile regression for long memory testing: A case of realized volatility," Working Papers w201207, Banco de Portugal, Economics and Research Department.
- Ted Juhl & Zhijie Xiao, 2000. "N-Consistent Semiparametric Regression: Partially Linear Models with Unit Roots," Econometric Society World Congress 2000 Contributed Papers 1532, Econometric Society.
- Phillips, Peter C B & Xiao, Zhijie, 1998.
" A Primer on Unit Root Testing,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 12(5), pages 423-469, December.
- Michael Jansson, 2008.
"Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis,"
Econometric Society, vol. 76(5), pages 1103-1142, September.
- Michael Jansson, 2007. "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," CREATES Research Papers 2007-12, Department of Economics and Business Economics, Aarhus University.
- Medina, Eva & Vicéns, José, 2011. "Factores determinantes de la demanda eléctrica de los hogares en España: una aproximación mediante regresión cuantílica/Determinants of Household Electricity Demand in Spain: An Approach through Quant," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 29, pages 515-538, Agosto.
- Xiao, Zhijie, 2009. "Quantile cointegrating regression," Journal of Econometrics, Elsevier, vol. 150(2), pages 248-260, June.
- Ling, Shiqing & McAleer, Michael, 2004.
"Regression quantiles for unstable autoregressive models,"
Journal of Multivariate Analysis,
Elsevier, vol. 89(2), pages 304-328, May.
- Ling, S. & McAleer, M., 2001. "Regression Quantiles for Unstable Autoregressive Models," ISER Discussion Paper 0526, Institute of Social and Economic Research, Osaka University.
- Shiqing Ling & Michael McAleer, 2003. "Regression Quantiles for Unstable Autoregressive Models," CIRJE F-Series CIRJE-F-205, CIRJE, Faculty of Economics, University of Tokyo.
- Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M., 2011.
"A class of simple distribution-free rank-based unit root tests,"
Journal of Econometrics,
Elsevier, vol. 163(2), pages 200-214, August.
- Marc Hallin & Ramon Van den Akker & Bas J.M. Werker, 2011. "A class of simple distribution-free rank-based unit root tests," Post-Print hal-00834424, HAL.
- Wu, Shue-Jen & Lee, Wei-Ming, 2015. "Predicting severe simultaneous bear stock markets using macroeconomic variables as leading indicators," Finance Research Letters, Elsevier, vol. 13(C), pages 196-204.
- Lijuan Huo & Tae-Hwan Kim & Yunmi Kim, 2013.
"Testing for Autocorrelation in Quantile Regression Models,"
2013rwp-54, Yonsei University, Yonsei Economics Research Institute.
- Lijuan Huo & Tae-Hwan Kim & Yunmi Kim & Dong Jin Lee, 2014. "Testing for Autocorrelation in Quantile Regression Models," Working papers 2014rwp-76, Yonsei University, Yonsei Economics Research Institute.
- Marc Hallin & Ramon van den Akker & Bas Werker, 2009. "A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests," Working Papers ECARES 2009_001, ULB -- Universite Libre de Bruxelles.
- Hasan, Mohammad N., 2001. "Rank tests of unit root hypothesis with infinite variance errors," Journal of Econometrics, Elsevier, vol. 104(1), pages 49-65, August.
- Hallin, M. & van den Akker, R. & Werker, B.J.M., 2011. "A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)," Discussion Paper 2011-002, Tilburg University, Center for Economic Research.
- Shin, Dong Wan & So, Beong Soo, 1999. "New tests for unit roots in autoregressive processes with possibly infinite variance errors," Statistics & Probability Letters, Elsevier, vol. 44(4), pages 387-397, October.
- Horowitz, Joel L. & Savin, N. E., 2000. "Empirically relevant critical values for hypothesis tests: A bootstrap approach," Journal of Econometrics, Elsevier, vol. 95(2), pages 375-389, April.
- Campêlo, Ana Katarina & Cribari-Neto, Francisco, 2003. "Inflation Inertia and Inliers: The Case of Brazil," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 57(4), October.
- Delgado, Miguel A. & Velasco, Carlos, 2005. "Sign tests for long-memory time series," Journal of Econometrics, Elsevier, vol. 128(2), pages 215-251, October.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecm:emetrp:v:65:y:1997:i:1:p:133-162. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/essssea.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.