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
Institutions:	Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund

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Extent:	application/pdf
Series:	Technical Reports.
Type of publication:	Book / Working Paper
Notes:	Number 2000,29
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010982377