Loading…
Rank tests of unit root hypothesis with infinite variance errors
We consider a family of rank tests based on the regression rank score process introduced by Gutenbrunner and Jurečková (Ann. Statist. 20 (1992) 305) to test the unit root hypothesis under infinite variance innovations. Unlike the finite variance case as studied by Hasan and Koenker (Econometrica 65...
Saved in:
| Published in: | Journal of econometrics 2001-08, Vol.104 (1), p.49-65 |
|---|---|
| Main Author: | |
| Format: | Article |
| Language: | English |
| Subjects: | |
| Citations: | Items that this one cites Items that cite this one |
| Online Access: | Get full text |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| cited_by | cdi_FETCH-LOGICAL-c574t-b3117262a5703164ed0e0384800c12be73f3e9d23b803ae859c7a63488a21c5c3 |
|---|---|
| cites | cdi_FETCH-LOGICAL-c574t-b3117262a5703164ed0e0384800c12be73f3e9d23b803ae859c7a63488a21c5c3 |
| container_end_page | 65 |
| container_issue | 1 |
| container_start_page | 49 |
| container_title | Journal of econometrics |
| container_volume | 104 |
| creator | Hasan, Mohammad N. |
| description | We consider a family of rank tests based on the regression rank score process introduced by Gutenbrunner and Jurečková (Ann. Statist. 20 (1992) 305) to test the unit root hypothesis under infinite variance innovations. Unlike the finite variance case as studied by Hasan and Koenker (Econometrica 65 (1997) 133) the original rankscore test statistics (
T
n
) exhibit a simple Gaussian limiting behavior. However, finite sample investigations suggest a correction similar to what HK proposed. This corrected version (
S
̂
T
) has reliable size, and exhibits remarkable power even in
near unit root cases under a variety of
α-stable distributions. Also, the test statistics do not depend on the
α parameter. |
| doi_str_mv | 10.1016/S0304-4076(01)00050-1 |
| format | article |
| fullrecord | <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_miscellaneous_38263411</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><els_id>S0304407601000501</els_id><sourcerecordid>38263411</sourcerecordid><originalsourceid>FETCH-LOGICAL-c574t-b3117262a5703164ed0e0384800c12be73f3e9d23b803ae859c7a63488a21c5c3</originalsourceid><addsrcrecordid>eNqFkV9rFDEUxYMouFY_ghBExD5Me28yyWSeVIrVQqHgn-eQzd5hU3cnY5Jd2W9vplsq-NLAJXDzO4fDCWOvEc4QUJ9_Bwlt00Kn3wOeAoCCBp-wBZpONNr06ilbPCDP2Yucb2eoNXLBPn5z4y9eKJfM48B3Yyg8xVj4-jDFsqYcMv8TypqHcQj1kfjepeBGT5xSiim_ZM8Gt8n06v4-YT8vP_-4-Npc33y5uvh03XjVtaVZSsROaOFUBxJ1SysgkKY1AB7Fkjo5SOpXQi4NSEdG9b5zWrbGOIFeeXnC3h19pxR_72peuw3Z02bjRoq7bKURFUes4Jv_wNu4S2PNZrHXWgiBpkLqCPkUc0402CmFrUsHi2DnUu1dqXZuzALau1LtbH511CWayD-IqB4fx7i1eysdVqF0hzoCqla6MC_rTHXa3mpl12Vbvd7eB3XZu82Qaqsh_wuCYLRRFftwxKi2uw-UbPaB6gesQiJf7CqGR0L_BcETodA</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>196622218</pqid></control><display><type>article</type><title>Rank tests of unit root hypothesis with infinite variance errors</title><source>International Bibliography of the Social Sciences (IBSS)</source><source>ScienceDirect Freedom Collection</source><source>Elsevier SD Backfile Economics</source><source>Backfile Package - Mathematics (Legacy) [YMT]</source><creator>Hasan, Mohammad N.</creator><creatorcontrib>Hasan, Mohammad N.</creatorcontrib><description>We consider a family of rank tests based on the regression rank score process introduced by Gutenbrunner and Jurečková (Ann. Statist. 20 (1992) 305) to test the unit root hypothesis under infinite variance innovations. Unlike the finite variance case as studied by Hasan and Koenker (Econometrica 65 (1997) 133) the original rankscore test statistics (
T
n
) exhibit a simple Gaussian limiting behavior. However, finite sample investigations suggest a correction similar to what HK proposed. This corrected version (
S
̂
T
) has reliable size, and exhibits remarkable power even in
near unit root cases under a variety of
α-stable distributions. Also, the test statistics do not depend on the
α parameter.</description><identifier>ISSN: 0304-4076</identifier><identifier>EISSN: 1872-6895</identifier><identifier>DOI: 10.1016/S0304-4076(01)00050-1</identifier><identifier>CODEN: JECMB6</identifier><language>eng</language><publisher>Amsterdam: Elsevier B.V</publisher><subject>Correlation ; Econometrics ; Economic models ; Exact sciences and technology ; Hypotheses ; Innovation ; Linear inference, regression ; Mathematics ; Modelling ; Parametric inference ; Probability and statistics ; Quantile regression ; Regression analysis ; Regression rank score ; Sciences and techniques of general use ; Statistics ; Studies ; Time series ; Unit root tests ; Variance ; Variance analysis ; α-stable process</subject><ispartof>Journal of econometrics, 2001-08, Vol.104 (1), p.49-65</ispartof><rights>2001 Elsevier Science S.A.</rights><rights>2001 INIST-CNRS</rights><rights>Copyright Elsevier Sequoia S.A. Aug 2001</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c574t-b3117262a5703164ed0e0384800c12be73f3e9d23b803ae859c7a63488a21c5c3</citedby><cites>FETCH-LOGICAL-c574t-b3117262a5703164ed0e0384800c12be73f3e9d23b803ae859c7a63488a21c5c3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://www.sciencedirect.com/science/article/pii/S0304407601000501$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,776,780,3447,3551,27901,27902,33200,33201,45968,45978</link.rule.ids><backlink>$$Uhttp://pascal-francis.inist.fr/vibad/index.php?action=getRecordDetail&idt=1108685$$DView record in Pascal Francis$$Hfree_for_read</backlink><backlink>$$Uhttp://econpapers.repec.org/article/eeeeconom/v_3a104_3ay_3a2001_3ai_3a1_3ap_3a49-65.htm$$DView record in RePEc$$Hfree_for_read</backlink></links><search><creatorcontrib>Hasan, Mohammad N.</creatorcontrib><title>Rank tests of unit root hypothesis with infinite variance errors</title><title>Journal of econometrics</title><description>We consider a family of rank tests based on the regression rank score process introduced by Gutenbrunner and Jurečková (Ann. Statist. 20 (1992) 305) to test the unit root hypothesis under infinite variance innovations. Unlike the finite variance case as studied by Hasan and Koenker (Econometrica 65 (1997) 133) the original rankscore test statistics (
T
n
) exhibit a simple Gaussian limiting behavior. However, finite sample investigations suggest a correction similar to what HK proposed. This corrected version (
S
̂
T
) has reliable size, and exhibits remarkable power even in
near unit root cases under a variety of
α-stable distributions. Also, the test statistics do not depend on the
α parameter.</description><subject>Correlation</subject><subject>Econometrics</subject><subject>Economic models</subject><subject>Exact sciences and technology</subject><subject>Hypotheses</subject><subject>Innovation</subject><subject>Linear inference, regression</subject><subject>Mathematics</subject><subject>Modelling</subject><subject>Parametric inference</subject><subject>Probability and statistics</subject><subject>Quantile regression</subject><subject>Regression analysis</subject><subject>Regression rank score</subject><subject>Sciences and techniques of general use</subject><subject>Statistics</subject><subject>Studies</subject><subject>Time series</subject><subject>Unit root tests</subject><subject>Variance</subject><subject>Variance analysis</subject><subject>α-stable process</subject><issn>0304-4076</issn><issn>1872-6895</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2001</creationdate><recordtype>article</recordtype><sourceid>8BJ</sourceid><recordid>eNqFkV9rFDEUxYMouFY_ghBExD5Me28yyWSeVIrVQqHgn-eQzd5hU3cnY5Jd2W9vplsq-NLAJXDzO4fDCWOvEc4QUJ9_Bwlt00Kn3wOeAoCCBp-wBZpONNr06ilbPCDP2Yucb2eoNXLBPn5z4y9eKJfM48B3Yyg8xVj4-jDFsqYcMv8TypqHcQj1kfjepeBGT5xSiim_ZM8Gt8n06v4-YT8vP_-4-Npc33y5uvh03XjVtaVZSsROaOFUBxJ1SysgkKY1AB7Fkjo5SOpXQi4NSEdG9b5zWrbGOIFeeXnC3h19pxR_72peuw3Z02bjRoq7bKURFUes4Jv_wNu4S2PNZrHXWgiBpkLqCPkUc0402CmFrUsHi2DnUu1dqXZuzALau1LtbH511CWayD-IqB4fx7i1eysdVqF0hzoCqla6MC_rTHXa3mpl12Vbvd7eB3XZu82Qaqsh_wuCYLRRFftwxKi2uw-UbPaB6gesQiJf7CqGR0L_BcETodA</recordid><startdate>20010801</startdate><enddate>20010801</enddate><creator>Hasan, Mohammad N.</creator><general>Elsevier B.V</general><general>Elsevier</general><general>Elsevier Sequoia S.A</general><scope>IQODW</scope><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>20010801</creationdate><title>Rank tests of unit root hypothesis with infinite variance errors</title><author>Hasan, Mohammad N.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c574t-b3117262a5703164ed0e0384800c12be73f3e9d23b803ae859c7a63488a21c5c3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2001</creationdate><topic>Correlation</topic><topic>Econometrics</topic><topic>Economic models</topic><topic>Exact sciences and technology</topic><topic>Hypotheses</topic><topic>Innovation</topic><topic>Linear inference, regression</topic><topic>Mathematics</topic><topic>Modelling</topic><topic>Parametric inference</topic><topic>Probability and statistics</topic><topic>Quantile regression</topic><topic>Regression analysis</topic><topic>Regression rank score</topic><topic>Sciences and techniques of general use</topic><topic>Statistics</topic><topic>Studies</topic><topic>Time series</topic><topic>Unit root tests</topic><topic>Variance</topic><topic>Variance analysis</topic><topic>α-stable process</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Hasan, Mohammad N.</creatorcontrib><collection>Pascal-Francis</collection><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Journal of econometrics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Hasan, Mohammad N.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Rank tests of unit root hypothesis with infinite variance errors</atitle><jtitle>Journal of econometrics</jtitle><date>2001-08-01</date><risdate>2001</risdate><volume>104</volume><issue>1</issue><spage>49</spage><epage>65</epage><pages>49-65</pages><issn>0304-4076</issn><eissn>1872-6895</eissn><coden>JECMB6</coden><abstract>We consider a family of rank tests based on the regression rank score process introduced by Gutenbrunner and Jurečková (Ann. Statist. 20 (1992) 305) to test the unit root hypothesis under infinite variance innovations. Unlike the finite variance case as studied by Hasan and Koenker (Econometrica 65 (1997) 133) the original rankscore test statistics (
T
n
) exhibit a simple Gaussian limiting behavior. However, finite sample investigations suggest a correction similar to what HK proposed. This corrected version (
S
̂
T
) has reliable size, and exhibits remarkable power even in
near unit root cases under a variety of
α-stable distributions. Also, the test statistics do not depend on the
α parameter.</abstract><cop>Amsterdam</cop><pub>Elsevier B.V</pub><doi>10.1016/S0304-4076(01)00050-1</doi><tpages>17</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0304-4076 |
| ispartof | Journal of econometrics, 2001-08, Vol.104 (1), p.49-65 |
| issn | 0304-4076 1872-6895 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_38263411 |
| source | International Bibliography of the Social Sciences (IBSS); ScienceDirect Freedom Collection; Elsevier SD Backfile Economics; Backfile Package - Mathematics (Legacy) [YMT] |
| subjects | Correlation Econometrics Economic models Exact sciences and technology Hypotheses Innovation Linear inference, regression Mathematics Modelling Parametric inference Probability and statistics Quantile regression Regression analysis Regression rank score Sciences and techniques of general use Statistics Studies Time series Unit root tests Variance Variance analysis α-stable process |
| title | Rank tests of unit root hypothesis with infinite variance errors |
| url | http://sfxeu10.hosted.exlibrisgroup.com/loughborough?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-02-03T03%3A15%3A13IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Rank%20tests%20of%20unit%20root%20hypothesis%20with%20infinite%20variance%20errors&rft.jtitle=Journal%20of%20econometrics&rft.au=Hasan,%20Mohammad%20N.&rft.date=2001-08-01&rft.volume=104&rft.issue=1&rft.spage=49&rft.epage=65&rft.pages=49-65&rft.issn=0304-4076&rft.eissn=1872-6895&rft.coden=JECMB6&rft_id=info:doi/10.1016/S0304-4076(01)00050-1&rft_dat=%3Cproquest_cross%3E38263411%3C/proquest_cross%3E%3Cgrp_id%3Ecdi_FETCH-LOGICAL-c574t-b3117262a5703164ed0e0384800c12be73f3e9d23b803ae859c7a63488a21c5c3%3C/grp_id%3E%3Coa%3E%3C/oa%3E%3Curl%3E%3C/url%3E&rft_id=info:oai/&rft_pqid=196622218&rft_id=info:pmid/&rfr_iscdi=true |