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An invariant sign test for random walks based on recursive median adjustment · Study

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ArticleAn invariant sign test for random walks based on recursive median adjustment

Beong Soo So2001

Article2001

An invariant sign test for random walks based on recursive median adjustment

Beong Soo So · Dong Wan Shin

39 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Diverse Scientific and Economic Studies

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1996Efficient Tests for an Autoregressive Unit Root 1992Efficient Tests for an Autoregressive Unit Root 1987Time Series Regression with a Unit Root 1998Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates 1987Towards a Unified Asymptotic Theory for Autoregression 2001Threshold Autoregression with a Unit Root

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2003Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity 2019SIGN-BASED UNIT ROOT TESTS FOR EXPLOSIVE FINANCIAL BUBBLES IN THE PRESENCE OF DETERMINISTICALLY TIME-VARYING VOLATILITY 2006Properties of recursive trend-adjusted unit root tests 2011How Do Nonlinear Unit Root Tests Perform with Non Normal Errors?2012Recursive adjustment, unit root tests and structural breaks

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Year2001

Typearticle

Published2001-06-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations39

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/s0304-4076(01)00053-7

openalex_workW2007007012

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