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An invariant sign test for random walks based on recursive median adjustment
16 references·5 citing·36 second hop
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 1992Efficient Tests for an Autoregressive Unit Root4,234 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1998Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates1,203 cited
  • 1987Towards a Unified Asymptotic Theory for Autoregression842 cited
  • 2001Threshold Autoregression with a Unit Root707 cited
  • 1991Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations546 cited
  • 1998Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates380 cited
  • 1991NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES189 cited
  • 1999Dynamic Asymmetries in U.S. Unemployment185 cited
  • 1999Distribution theory for unit root tests with conditional heteroskedasticity123 cited
  • 1995Unit Root Tests Based on M Estimators98 cited
  • 2001recursive Mean Adjustment for Unit Root Tests93 cited

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  • 1996Asymptotic Theory of LAD Estimation in a Unit Root Process with Finite Variance Errors79 cited
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    • 2003Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity39 cited
    • 2019SIGN-BASED UNIT ROOT TESTS FOR EXPLOSIVE FINANCIAL BUBBLES IN THE PRESENCE OF DETERMINISTICALLY TIME-VARYING VOLATILITY36 cited
    • 2006Properties of recursive trend-adjusted unit root tests17 cited
    • 2011How Do Nonlinear Unit Root Tests Perform with Non Normal Errors?12 cited
    • 2012Recursive adjustment, unit root tests and structural breaks11 cited