Since the pioneering work of Koenker and Bassett (1978), econometric models involving median and quantile, rather than the classical mean or conditional mean concepts, have attracted much interest. Contrary to the traditional models where the noise is assumed to have mean zero, median-restricted...

Irrespective of the statistical model under study, the derivation of limits, in the Le Cam sense, of sequences of local experiments (see [7]-[10]) often follows along very similar lines, essentially involving differentiability in quadratic mean of square roots of (conditional) densities. This...

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,...

This paper provides locally optimal pseudo-Gaussian and rank-based tests for the cointegration rank in linear cointegrated error-correction models with i.i.d. elliptical innovations. The proposed tests are asymptotically distribution-free, hence their validity does not depend on the actual...

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,...

We propose a class of simple 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, is...