Pelagatti, Matteo; Sen, Pranab - Dipartimento di Statistica, Università degli Studi di … - 2010
We propose a rank-test of the null hypothesis of short memory stationarity possibly after linear detrending. For the level-stationarity hypothesis, the test statistic we propose is a modified version of the popular KPSS statistic, in which ranks substitute the original observations. We prove...