Sums of exponentials of random walks with drift

DOI10.1017/S026646661100082XzbMATH Open1259.60048MaRDI QIDQ2909253FDOQ2909253

Authors: Xi Qu, Robert de Jong 

Publication date: 30 August 2012

Published in: Econometric Theory (Search for Journal in Brave)

Recommendations

• The Dickey-Fuller test for exponential random walks
• A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence
• Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity
• Rank Based Dickey–Fuller Test Statistics
• scientific article; zbMATH DE number 30712

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

This page was built for publication: Sums of exponentials of random walks with drift

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2909253)