A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests
Year of publication: |
2009
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Authors: | Hallin, Marc ; van den Akker, Ramon ; Werker, Bas |
Institutions: | European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management |
Subject: | Dickey-Fuller test | Local Asymptotic Normality |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published by: The text is part of a series ECARES Working papers Number 2009_001 23 pages long |
Classification: | C12 - Hypothesis Testing ; C22 - Time-Series Models |
Source: |
-
A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)
Werker, Bas J.M., (2011)
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