A Class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests

Abstract

We propose a class of simple 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 by distribution-freeness, irrespective of the value of the… (More)

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