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.
|Date of creation:||Apr 1985|
|Date of revision:|
|Publication status:||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.|
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