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 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,...

The likelihood function of a seasonal model, Yt=pYt-d+et as implemented in computer algorithms under the assumption of stationary initial conditions is a function of p which is zero at the point p=1. It is a smooth function for p in the above seasonal model with a well-defined maximum regardless...