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

  • 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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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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    1. Enders, Walter & Granger, Clive W J, 1998. "Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 304-11, July.
    2. Campbell, Bryan & Dufour, Jean-Marie, 1995. "Exact Nonparametric Orthogonality and Random Walk Tests," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 1-16, February.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    8. 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.
    9. Park, Joon Y. & Phillips, Peter C.B., 1999. "Asymptotics For Nonlinear Transformations Of Integrated Time Series," Econometric Theory, Cambridge University Press, vol. 15(03), pages 269-298, June.
    10. 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.
    11. 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.
    12. 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.
    13. Koop, Gary & Potter, Simon M, 1999. "Dynamic Asymmetries in U.S. Unemployment," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(3), pages 298-312, July.
    14. Seo, Byeongseon, 1999. "Distribution theory for unit root tests with conditional heteroskedasticity1," Journal of Econometrics, Elsevier, vol. 91(1), pages 113-144, July.
    15. 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.
    16. 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.
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