Testing the Random Walk Hypothesis: Power versus Frequency of Observation

Power functions of tests of the random walk hypothesis versus stationary first order autoregressive alternatives are tabulated for samples of fixed span but various frequencies of observation.

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Year of publication:	1985-04
Authors:	Shiller, Robert J. ; Perron, Pierre
Institutions:	National Bureau of Economic Research (NBER)

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Extent:	application/pdf
Series:	NBER Technical Working Papers.
Type of publication:	Book / Working Paper
Notes:	ME published as Perron, Pierre and Robert J. Shiller. "Testing the Random Walk Hypothesis: Power Versus Frequency of Observation," Economic Letters, Vol. 18, 1985,pp. 381-386. Number 0045
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005725317