RANK-TESTS FOR UNIT ROOTS

In order to obtain exact distributional results without imposing restr ictive 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 the oretical properties. Assuming i.i.d. errors, an exact test is obtained for a random walk model with drift and under assumptions similar to P hillips and Perron (1988) the test is asymptotically valid. In a Monte Carlo study the rank tests are compared with their parametric counter parts. (C) 1997 Elsevier Science S.A.