Sums of exponentials of random walks with drift

DOI10.1017/S026646661100082XMaRDI QIDQ2909253zbMATHFDO

Authors Xi Qu, Robert de Jong

Publication date 30 August 2012

Published in Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

simulationsconvergence in distributionunit root processDickey-Fuller testKPSS statisticexponentials of random walks with drift

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

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Cites work

• scientific article; zbMATH DE number 3249395 (Why is no real title available?)
• Growth of random walks conditioned to stay positive
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION
• Rank tests for unit roots
• Some generalizations on the algebra of I(1) processes

Cited in

(6)

• scientific article; zbMATH DE number 468915 (Why is no real title available?)
• The sum of the reciprocal of the random walk
• Random Walks with Drift – A Sequential Approach
• The Dickey-Fuller test for exponential random walks
• Exact probability distribution function for the volatility of cumulative production
• scientific article; zbMATH DE number 1218125 (Why is no real title available?)

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