We propose a class of distribution-free rank-based tests for the null hypothesis of a unit root. This class is indexed by the choice of a , which needs not coincide with the unknown actual innovation density . The validity of these tests, in terms of exact finite sample size, is guaranteed,...

We propose a class of distribution-free rank-based tests for the null hypothesis of a unit root. This class is indexed by the choice of a , which needs not coincide with the unknown actual innovation density . The validity of these tests, in terms of exact finite sample size, is guaranteed,...