The Finite-Sample Bias of the Autoregressive Parameter Under Rank-based Estimation
DOI : 10.3844/jmssp.2005.1.2
Journal of Mathematics and Statistics
Volume 1, Issue 1
Monte Carlo simulation is employed to examine the finite-sample properties of the estimated autoregressive parameter associated with the Dickey-Fuller and rank-based Dickey-Fuller unit root tests. While the downward bias associated with estimator under the Dickey-Fuller test has long been noted in the literature, the corresponding properties for the rank-based test have not been considered previously. The results presented show that in comparison to the DF test, increased bias is present for the rank-based test.
© 2005 Steven Cook. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.