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A class of simple distribution-free rank-based unit root tests · Study

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ArticleA class of simple distribution-free rank-based unit root tests

Marc Hallin2011

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Articlegreen2011

A class of simple distribution-free rank-based unit root tests

Marc Hallin · Ramon Van den Akker · Bas J. M. Werker

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

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Monetary Policy and Economic Impact Complex Systems and Time Series Analysis Diverse Scientific and Economic Studies

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1988Testing for a Unit Root in Time Series Regression 2003Testing for unit roots in heterogeneous panels 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 2002Unit root tests in panel data: asymptotic and finite-sample properties 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1996Efficient Tests for an Autoregressive Unit Root

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2008Improving Size and Power in the Unit Root Testingpreprint · 12 shared references 2012Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesisarticle · 10 shared references 2010CLIOMETRICS AND TIME SERIES ECONOMETRICS: SOME THEORY AND APPLICATIONSarticle · 10 shared references 1994Chapter 46 Unit roots, structural breaks and trendschapter · 9 shared references 2003GLS detrending, efficient unit root tests and structural changearticle · 9 shared references 2006Testing for unit roots in time series models with non-stationary volatilityarticle · 9 shared references

Details

Year2011

Typearticle

Published2011-04-19

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations20

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jeconom.2011.03.007

openalex_workW3123085261

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