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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- Schwert, G William, 1989.
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- Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
- Amsler, Christine & Lee, Junsoo, 1995. "An LM Test for a Unit Root in the Presence of a Structural Change," Econometric Theory, Cambridge University Press, vol. 11(02), pages 359-368, February.
- Campbell, Bryan & Dufour, Jean-Marie, 1995.
"Exact Nonparametric Orthogonality and Random Walk Tests,"
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- Dufour, J.M. & Campbell, B., 1993. "Exact Nonparametric Orthogonality and Random Walk Tests," Cahiers de recherche 9326, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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Elsevier, vol. 36(3), pages 285-289, July.
- Lee, J. & Schmidt, P., 1991. "A Modification of the Schmidt-Phillips Unit Root Test," Papers 9001, Michigan State - Econometrics and Economic Theory.
- McAleer, Michael & McKenzie, Colin, 1996. " The 7th World Congress of the Econometric Society: Tokyo, Japan, 1995," Journal of Economic Surveys, Wiley Blackwell, vol. 10(1), pages 105-114, March.
- Schmidt, Peter & Phillips, C B Peter, 1992. "LM Tests for a Unit Root in the Presence of Deterministic Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 257-287, August.
- Phillips, P.C.B., 1986.
"Testing for a Unit Root in Time Series Regression,"
Cahiers de recherche
8633, Universite de Montreal, Departement de sciences economiques.
- Conley, Timothy G, et al, 1997. "Short-Term Interest Rates as Subordinated Diffusions," Review of Financial Studies, Society for Financial Studies, vol. 10(3), pages 525-577.
- McCabe, B. P. M., 1989. "Misspecification tests in econometrics based on ranks," Journal of Econometrics, Elsevier, vol. 40(2), pages 261-278, February.
- Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
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