Erschienen in:CentER Discussion Paper Series ; No. 2010-72 (revision of 2009-02)
Umfang:
1 Online-Ressource (26 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.1649983
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 30, 2010 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 finite-sample performances, and show that our rank-based tests perform significantly better than the traditional Dickey-Fuller tests