Rank tests of unit root hypothesis with infinite variance errors
作者： Mohammad N. Hasan
DOI: 10.1016/S0304-4076(01)00050-1
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摘要: Abstract We consider a family of rank tests based on the regression score process introduced by Gutenbrunner and Jureckova (Ann. Statist. 20 (1992) 305) to test unit root hypothesis under infinite variance innovations. Unlike finite case as studied Hasan Koenker (Econometrica 65 (1997) 133) original rankscore statistics ( T n ) exhibit simple Gaussian limiting behavior. However, sample investigations suggest correction similar what HK proposed. This corrected version S has reliable size, exhibits remarkable power even in near cases variety α -stable distributions. Also, do not depend parameter.
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