The Dickey-Fuller-test for exponential random walks

We derive the probability limit of the standard Dickey-Fuller-test in the context of an exponential random walk. This result might be useful in interpreting tests for unit roots when the test is inadvertantly applied to the levels of the data when the true random walk is in the logs.

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Year of publication:	2000
Authors:	Davies, Laurie ; Krämer, Walter
Publisher:	Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Subject:	Unit Root Test \| Theorie \| Random Walk

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Series:	Technical Report ; 2000,29
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	766154335 [GVK] hdl:10419/77185 [Handle] RePEc:zbw:sfb475:200029 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010316528