Rank tests for short memory stationarity

A-Tier
Journal: Journal of Econometrics
Year: 2013
Volume: 172
Issue: 1
Pages: 90-105

Authors (2)

Pelagatti, Matteo M. (Università degli Studi di Mila...) Sen, Pranab K. (not in RePEc)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Abstract

We propose a rank-test of the null hypothesis of short memory stationarity possibly after linear detrending.

Technical Details

RePEc Handle
repec:eee:econom:v:172:y:2013:i:1:p:90-105
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-28