TY  - JOUR
AU  - Cook, Steven 
PY  - 2005
TI  - The Finite-Sample Bias of the Autoregressive Parameter Under Rank-based Estimation
JF  - Journal of Mathematics and Statistics
VL  - 1
IS  - 1
DO  - 10.3844/jmssp.2005.1.2
UR  - https://thescipub.com/abstract/jmssp.2005.1.2
AB  - 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.