Authors
Citation
Mn. Hasan et Rw. Koenker, ROBUST RANK-TESTS OF THE UNIT-ROOT HYPOTHESIS, Econometrica, 65(1), 1997, pp. 133-161
Citations number
40
Categorie Soggetti
Economics,"Social Sciences, Mathematical Methods","Mathematical, Methods, Social Sciences","Statistic & Probability","Mathematics, Miscellaneous
Journal title
ISSN journal
00129682
Volume
65
Issue
1
Year of publication
1997
Pages
133 - 161
Database
ISI
SICI code
0012-9682(1997)65:1<133:RROTUH>2.0.ZU;2-B
Abstract
We consider a family of rank tests based on the regression rank score
process introduced by Gutenbrunner and Jureckova (1992) to test the un
it 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.