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| Author: | Hasan, M. N. Koenker, R. W. |
| Title: | Robust rank tests of the unit root hypothesis |
| Journal: | Econometrica
1997 : JAN, VOL. 65:1, p. 133-161 |
| Index terms: | TESTS UNIT ROOTS ECONOMETRICS TIME SERIES REGRESSION ANALYSIS |
| Language: | eng |
| Abstract: | Rank tests are based on the regression rank score process by Gutenbrunner and Jureckova (1992) to test the unit root hypothesis in economic time series. The rank tests are asymptotically Gaussian under the null hypothesis in contrast to test based on least squares methods. A new class of rank tests of the unit root hypothesis is proposed. It should offer a reliable size and improved power, relative to least squares based texts, when confronted by time series exhibiting a few large innovations. This is the first step in an attempt to extend rank based methods of statistical inference to a class of nonstationary time series models. Rank tests are rarely mentioned in econometrics despite the fact that they play an important role in statistics. |
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