Robust rank tests of the unit root hypothesis

M. N. Hasan, R. W. Koenker

Research output: Contribution to journalArticlepeer-review

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 languageEnglish (US)
Pages (from-to)133-161
Number of pages29
JournalEconometrica
Volume65
Issue number1
DOIs
StatePublished - Jan 1997

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

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