Rank tests for unit roots
In order to obtain exact distributional results without imposing restrictive 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 theoretical properties....
Gespeichert in:
| Veröffentlicht in: | Journal of econometrics 1997-11, Vol.81 (1), p.7-27 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 27 |
|---|---|
| container_issue | 1 |
| container_start_page | 7 |
| container_title | Journal of econometrics |
| container_volume | 81 |
| creator | Breitung, Jörg Gouriéroux, Christian |
| description | In order to obtain exact distributional results without imposing restrictive 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 theoretical properties. Assuming i.i.d. errors, an exact test is obtained for a random walk model with drift and under assumptions similar to Phillips and Perron (1988) the test is asymptotically valid. In a Monte Carlo study the rank tests are compared with their parametric counterparts. |
| doi_str_mv | 10.1016/S0304-4076(97)00031-6 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_miscellaneous_839083977</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><els_id>S0304407697000316</els_id><sourcerecordid>839083977</sourcerecordid><originalsourceid>FETCH-LOGICAL-c544t-f412310f1648e921ccedaddb8ad040dfeef0f4bc94587e29bea8ff0cf92842bc3</originalsourceid><addsrcrecordid>eNqFkE1LAzEYhIMoWKs_wINQvKiH1WST3SQnkaJVKAh-nF-y2Te4td3UZLfQf2_aigcvBibJYWYYHkLOGL1mlJU3r5RTkQkqy0stryilnGXlHhkwJfOsVLrYJ4NfyyE5inGWTIVQfEBOX0z7OeowdnHkfBj1bdONgvddPCYHzswjnvy8Q_L-cP82fsymz5On8d00s4UQXeYEyzmjjpVCoc6ZtVibuq6UqamgtUN01InKalEoibmu0CjnqHU6VyKvLB-Si13vMvivPg2BRRMtzuemRd9HUFzTJCmT8_yPc-b70KZxwHRZMqkKlUzFzmSDjzGgg2VoFiasgVHY4IItLtiwAC1hiwvKlJvscgGXaH9DmI71rV_ACrhRLF3rJKZTlJtm801aJknIJXx0i9R0u2vCRG3VYIBoG2wTlyag7aD2zT9bvgFr3Yi4</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>196617858</pqid></control><display><type>article</type><title>Rank tests for unit roots</title><source>RePEc</source><source>ScienceDirect Journals (5 years ago - present)</source><creator>Breitung, Jörg ; Gouriéroux, Christian</creator><creatorcontrib>Breitung, Jörg ; Gouriéroux, Christian</creatorcontrib><description>In order to obtain exact distributional results without imposing restrictive 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 theoretical properties. Assuming i.i.d. errors, an exact test is obtained for a random walk model with drift and under assumptions similar to Phillips and Perron (1988) the test is asymptotically valid. In a Monte Carlo study the rank tests are compared with their parametric counterparts.</description><identifier>ISSN: 0304-4076</identifier><identifier>EISSN: 1872-6895</identifier><identifier>DOI: 10.1016/S0304-4076(97)00031-6</identifier><identifier>CODEN: JECMB6</identifier><language>eng</language><publisher>Amsterdam: Elsevier B.V</publisher><subject>Distribution ; Dynamic models ; Econometrics ; Mathematical models ; Modelling ; Monte Carlo simulation ; Non-linear models ; Nonlinear models ; Outliers ; Random walk theory ; Rank tests ; Studies ; Unit roots</subject><ispartof>Journal of econometrics, 1997-11, Vol.81 (1), p.7-27</ispartof><rights>1997</rights><rights>Copyright Elsevier Sequoia S.A. Nov 1997</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c544t-f412310f1648e921ccedaddb8ad040dfeef0f4bc94587e29bea8ff0cf92842bc3</citedby><cites>FETCH-LOGICAL-c544t-f412310f1648e921ccedaddb8ad040dfeef0f4bc94587e29bea8ff0cf92842bc3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://dx.doi.org/10.1016/S0304-4076(97)00031-6$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,780,784,3548,4006,27922,27923,45993</link.rule.ids><backlink>$$Uhttp://econpapers.repec.org/article/eeeeconom/v_3a81_3ay_3a1997_3ai_3a1_3ap_3a7-27.htm$$DView record in RePEc$$Hfree_for_read</backlink></links><search><creatorcontrib>Breitung, Jörg</creatorcontrib><creatorcontrib>Gouriéroux, Christian</creatorcontrib><title>Rank tests for unit roots</title><title>Journal of econometrics</title><description>In order to obtain exact distributional results without imposing restrictive 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 theoretical properties. Assuming i.i.d. errors, an exact test is obtained for a random walk model with drift and under assumptions similar to Phillips and Perron (1988) the test is asymptotically valid. In a Monte Carlo study the rank tests are compared with their parametric counterparts.</description><subject>Distribution</subject><subject>Dynamic models</subject><subject>Econometrics</subject><subject>Mathematical models</subject><subject>Modelling</subject><subject>Monte Carlo simulation</subject><subject>Non-linear models</subject><subject>Nonlinear models</subject><subject>Outliers</subject><subject>Random walk theory</subject><subject>Rank tests</subject><subject>Studies</subject><subject>Unit roots</subject><issn>0304-4076</issn><issn>1872-6895</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1997</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><recordid>eNqFkE1LAzEYhIMoWKs_wINQvKiH1WST3SQnkaJVKAh-nF-y2Te4td3UZLfQf2_aigcvBibJYWYYHkLOGL1mlJU3r5RTkQkqy0stryilnGXlHhkwJfOsVLrYJ4NfyyE5inGWTIVQfEBOX0z7OeowdnHkfBj1bdONgvddPCYHzswjnvy8Q_L-cP82fsymz5On8d00s4UQXeYEyzmjjpVCoc6ZtVibuq6UqamgtUN01InKalEoibmu0CjnqHU6VyKvLB-Si13vMvivPg2BRRMtzuemRd9HUFzTJCmT8_yPc-b70KZxwHRZMqkKlUzFzmSDjzGgg2VoFiasgVHY4IItLtiwAC1hiwvKlJvscgGXaH9DmI71rV_ACrhRLF3rJKZTlJtm801aJknIJXx0i9R0u2vCRG3VYIBoG2wTlyag7aD2zT9bvgFr3Yi4</recordid><startdate>19971101</startdate><enddate>19971101</enddate><creator>Breitung, Jörg</creator><creator>Gouriéroux, Christian</creator><general>Elsevier B.V</general><general>Elsevier</general><general>Elsevier Sequoia S.A</general><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>19971101</creationdate><title>Rank tests for unit roots</title><author>Breitung, Jörg ; Gouriéroux, Christian</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c544t-f412310f1648e921ccedaddb8ad040dfeef0f4bc94587e29bea8ff0cf92842bc3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1997</creationdate><topic>Distribution</topic><topic>Dynamic models</topic><topic>Econometrics</topic><topic>Mathematical models</topic><topic>Modelling</topic><topic>Monte Carlo simulation</topic><topic>Non-linear models</topic><topic>Nonlinear models</topic><topic>Outliers</topic><topic>Random walk theory</topic><topic>Rank tests</topic><topic>Studies</topic><topic>Unit roots</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Breitung, Jörg</creatorcontrib><creatorcontrib>Gouriéroux, Christian</creatorcontrib><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Journal of econometrics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Breitung, Jörg</au><au>Gouriéroux, Christian</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Rank tests for unit roots</atitle><jtitle>Journal of econometrics</jtitle><date>1997-11-01</date><risdate>1997</risdate><volume>81</volume><issue>1</issue><spage>7</spage><epage>27</epage><pages>7-27</pages><issn>0304-4076</issn><eissn>1872-6895</eissn><coden>JECMB6</coden><abstract>In order to obtain exact distributional results without imposing restrictive 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 theoretical properties. Assuming i.i.d. errors, an exact test is obtained for a random walk model with drift and under assumptions similar to Phillips and Perron (1988) the test is asymptotically valid. In a Monte Carlo study the rank tests are compared with their parametric counterparts.</abstract><cop>Amsterdam</cop><pub>Elsevier B.V</pub><doi>10.1016/S0304-4076(97)00031-6</doi><tpages>21</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0304-4076 |
| ispartof | Journal of econometrics, 1997-11, Vol.81 (1), p.7-27 |
| issn | 0304-4076 1872-6895 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_839083977 |
| source | RePEc; ScienceDirect Journals (5 years ago - present) |
| subjects | Distribution Dynamic models Econometrics Mathematical models Modelling Monte Carlo simulation Non-linear models Nonlinear models Outliers Random walk theory Rank tests Studies Unit roots |
| title | Rank tests for unit roots |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-10T04%3A52%3A10IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Rank%20tests%20for%20unit%20roots&rft.jtitle=Journal%20of%20econometrics&rft.au=Breitung,%20J%C3%B6rg&rft.date=1997-11-01&rft.volume=81&rft.issue=1&rft.spage=7&rft.epage=27&rft.pages=7-27&rft.issn=0304-4076&rft.eissn=1872-6895&rft.coden=JECMB6&rft_id=info:doi/10.1016/S0304-4076(97)00031-6&rft_dat=%3Cproquest_cross%3E839083977%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=196617858&rft_id=info:pmid/&rft_els_id=S0304407697000316&rfr_iscdi=true |