Sums of exponentials of random walks with drift

DOI10.1017/S026646661100082XzbMATH Open1259.60048MaRDI QIDQ2909253FDOQ2909253

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)

Cites Work

• Title not available (Why is that?)
• Rank tests for unit roots
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Growth of random walks conditioned to stay positive
• Some generalizations on the algebra of I(1) processes

Cited In (5)

• Title not available (Why is that?)
• Title not available (Why is that?)
• Random Walks with Drift – A Sequential Approach
• Exact probability distribution function for the volatility of cumulative production
• THE SUM OF THE RECIPROCAL OF THE RANDOM WALK

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