Semiparametrically point-optimal hybrid rank tests for unit roots
(2019)
Journal Article
Zhou, B., Van Den Akker, R., & Werker, B. J. (2019). Semiparametrically point-optimal hybrid rank tests for unit roots. Annals of Statistics, 47(5), 2601-2638. https://doi.org/10.1214/18-aos1758
We propose a new class of unit root tests that exploits invariance properties in the Locally Asymptotically Brownian Functional limit experiment associated to the unit root model. The invariance structures naturally suggest tests that are based on th... Read More about Semiparametrically point-optimal hybrid rank tests for unit roots.