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Rank tests of unit root hypothesis with infinite variance errors

  • Hasan, Mohammad N.
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-438BRTD-2/2/09336480e51b667f12e2a8eab8f074ec
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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 104 (2001)
    Issue (Month): 1 (August)
    Pages: 49-65

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    Handle: RePEc:eee:econom:v:104:y:2001:i:1:p:49-65
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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    1. 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.
    2. Hallin, M. & Puri, M. L., 1994. "Aligned Rank Tests for Linear Models with Autocorrelated Error Terms," Journal of Multivariate Analysis, Elsevier, vol. 50(2), pages 175-237, August.
    3. Hallin, M. & Puri, M.L., 1992. "Rank Tests for Time Series Analysis , A Survey," Papers 9210, Universite Libre de Bruxelles - C.E.M.E..
    4. Davis, Richard A. & Knight, Keith & Liu, Jian, 1992. "M-estimation for autoregressions with infinite variance," Stochastic Processes and their Applications, Elsevier, vol. 40(1), pages 145-180, February.
    5. M. N. Hasan & R. W. Koenker, 1997. "Robust Rank Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 65(1), pages 133-162, January.
    6. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    7. Phillips, P.C.B., 1990. "Time Series Regression With a Unit Root and Infinite-Variance Errors," Econometric Theory, Cambridge University Press, vol. 6(01), pages 44-62, March.
    8. 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.
    9. Campbell, B. & Dufour, J.M., 1994. "Excat Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter," Cahiers de recherche 9407, Centre interuniversitaire de recherche en ├ęconomie quantitative, CIREQ.
    10. Dufour, J.M., 1979. "Rank Tests for Serial Dependence," Cahiers de recherche 7815, Universite de Montreal, Departement de sciences economiques.
    11. Resnick, Sidney & Greenwood, Priscilla, 1979. "A bivariate stable characterization and domains of attraction," Journal of Multivariate Analysis, Elsevier, vol. 9(2), pages 206-221, June.
    12. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    13. Knight, Keith, 1991. "Limit Theory for M-Estimates in an Integrated Infinite Variance," Econometric Theory, Cambridge University Press, vol. 7(02), pages 200-212, June.
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