Werker, Bas J.M.; Hallin, M.; van den Akker, R. - Tilburg University, Center for Economic Research - 2011
We propose a class of distribution-free rank-based tests for the null hypothesis of a unit root. This class is indexed by the choice of a reference density g, which needs not coincide with the unknown actual innovation density f. The validity of these tests, in terms of exact finite sample size,...