@article {10.3844/jmssp.2005.1.2,
article_type = {journal},
title = {The Finite-Sample Bias of the Autoregressive Parameter Under Rank-based Estimation},
author = {Cook, Steven},
volume = {1},
year = {2005},
month = {Mar},
pages = {1-2},
doi = {10.3844/jmssp.2005.1.2},
url = {https://thescipub.com/abstract/jmssp.2005.1.2},
abstract = {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.},
journal = {Journal of Mathematics and Statistics},
publisher = {Science Publications}
}