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Rank tests for short memory stationarity

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

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

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

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  1. 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.
  2. Nyblom, Jukka & Harvey, Andrew, 2000. "Tests Of Common Stochastic Trends," Econometric Theory, Cambridge University Press, vol. 16(02), pages 176-199, April.
  3. 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.
  4. 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.
  5. Breitung, Jörg & Gouriéroux, Christian, 1996. "Rank tests for unit roots," SFB 373 Discussion Papers 1996,9, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  6. 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.
  7. repec:cup:cbooks:9780521496032 is not listed on IDEAS
  8. Allen Fleishman, 1978. "A method for simulating non-normal distributions," Psychometrika, Springer, vol. 43(4), pages 521-532, December.
  9. Robert M. De Jong & James Davidson, 2000. "Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices," Econometrica, Econometric Society, vol. 68(2), pages 407-424, March.
  10. 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.
  11. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
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