Hallin, Marc
[Verfasser:in]
;
Van den Akker, Ramon
[Sonstige Person, Familie und Körperschaft];
Werker, Bas J. M.
[Sonstige Person, Familie und Körperschaft]
A Class of Simple Distribution-Free Rank-Based Unit Root Tests
Erschienen in:CentER Discussion Paper Series ; No. 2011-002 (Revision of 2009-02, 2010-72)
Umfang:
1 Online-Ressource (36 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.1744867
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 20, 2011 erstellt
Beschreibung:
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, is guaranteed, irrespective of the actual underlying density, by distribution-freeness. Those tests are locally and asymptotically optimal under a particular asymptotic scheme, for which we provide a complete analysis of asymptotic relative efficiencies. Rather than asymptotic optimality, however, we emphasize finitesample performances. Finite-sample performances of unit root tests, however, depend quite heavily on initial values. We therefore investigate those performances as a function of initial values. It appears that our rank-based tests significantly outperform the traditional Dickey-Fuller tests, as well as the more recent procedures proposed by Elliot, Rothenberg, and Stock (1996), Ng and Perron (2001), and Elliott and Muller (2006), for a broad range of initial values and for heavy-tailed innovation densities. As such, they provide a useful complement to existing techniques