Rank tests for unit roots
In order to obtain exact distributional results without imposing restrictive parametric assumptions, several rank counterparts of the Dickey-Fuller statistic are considered. In particular, a rank counterpart of the score statistic is suggested which appears to have attractive theoretical properties. Assuming i.i.d. errors, an exact test is obtained for a random walk model with drift and under assumptions similar to Phillips & Perron (1988) the test is asymptotically valid. In a Monte Carlo study the rank tests are compared with their parametric counterparts.
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Volume (Year): 81 (1997)
Issue (Month): 1 (November)
Pages: 7-27
| Handle: | RePEc:eee:econom:v:81:y:1997:i:1:p:7-27 |
| Contact details of provider: | Web page: http://www.elsevier.com/locate/jeconom
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References listed on IDEAS
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