Rank tests for short memory stationarity

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

Year of publication:	2013
Authors:	Pelagatti, Matteo M. ; Sen, Pranab K.
Published in:	Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 172.2013, 1, p. 90-105
Publisher:	Elsevier
Subject:	Stationarity test \| Unit roots \| Robustness \| Rank statistics \| Theil–Sen estimator \| Asymptotic efficiency

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010594957