Rank tests for short memory stationarity

Matteo Pelagatti and Pranab K. Sen

Journal of Econometrics, 2013, vol. 172, issue 1, 90-105

Abstract: We propose a rank-test of the null hypothesis of short memory stationarity possibly after linear detrending.

Keywords: Stationarity test; Unit roots; Robustness; Rank statistics; Theil–Sen estimator; Asymptotic efficiency (search for similar items in EconPapers)
JEL-codes: C12 C14 C22 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:172:y:2013:i:1:p:90-105

DOI: 10.1016/j.jeconom.2012.08.020

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