Robust rank tests of the unit root hypothesis

被引:40
作者
Hasan, MN [1 ]
Koenker, RW [1 ]
机构
[1] UNIV ILLINOIS,DEPT ECON,CHAMPAIGN,IL 61820
关键词
unit root tests; rank tests; ADF tests; quantile regression; regression rank score; Brownian motion; Ornstein-Uhlenbeck process;
D O I
10.2307/2171816
中图分类号
F [经济];
学科分类号
02 ;
摘要
We consider a family of rank tests based on the regression rank score process introduced by Gutenbrunner and Jureckova (1992) to test the unit root hypothesis in economic time series. In contrast to tests based on least squares methods, the rank tests are asymptotically Gaussian under the null hypothesis, and have excellent power-particularly under innovation processes exhibiting heavy tails.
引用
收藏
页码:133 / 161
页数:29
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