Rank tests for unit roots

Jörg Breitung (breitung@statistik.uni-koeln.de) and Christian Gourieroux

No 1996,9, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

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 & Perron (1988) the test is asymptotically valid. In a Monte Carlo study the rank tests are compared with their parametric counterparts.

Date: 1996
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Journal Article: Rank tests for unit roots (1997)
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