Robust rank tests of the unit root hypothesis

M. N. Hasan, R. W. Koenker

Research output: Contribution to journalArticlepeer-review


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
Issue number1
StatePublished - Jan 1997
Externally publishedYes


  • 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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