Abstract
We consider a family of rank tests based on the regression rank score process introduced by Gutenbrunner and Jurečková (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.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 133-161 |
| Number of pages | 29 |
| Journal | Econometrica |
| Volume | 65 |
| Issue number | 1 |
| DOIs | |
| State | Published - Jan 1997 |
| Externally published | Yes |
Keywords
- ADF tests
- Brownian motion
- Ornstein-Uhlenbeck process
- Quantile regression
- Rank tests
- Regression rank score
- Unit root tests
ASJC Scopus subject areas
- Economics and Econometrics