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Rank tests for unit roots
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DOI：10.1016/S0304-4076(97)00031-6.png)
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Abstract
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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. (C) 1997 Elsevier Science S.A.
Keywords:
unit roots
rank tests
outliers
nonlinear models
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