Testing the random walk hypothesis: power versus frequency of observation

DOI10.1016/0165-1765(85)90058-8zbMATH Open1273.91383OpenAlexW3097316749MaRDI QIDQ375146FDOQ375146

Pierre Perron, Robert J. Shiller

Publication date: 24 October 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(85)90058-8

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Statistical methods; economic indices and measures (91B82)

Cites Work

• Title not available (Why is that?)
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Testing For Unit Roots: 1
• Testing the autoregressive parameter with the t statistic
• Testing for Unit Roots: 2

Cited In (34)

• Using stochastic growth models to understand unit roots and breaking trends
• Estimation of fractional integration under temporal aggregation
• Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
• The effect of seasonal adjustment filters on tests for a unit root (with discussion)
• Long memory processes and fractional integration in econometrics
• Monitoring disruptions in financial markets
• Tests for cointegration. A Monte Carlo comparison
• Unit root testing
• Testing for exuberance in house prices using data sampled at different frequencies
• Testing for unit roots in flow data sampled at different frequencies
• TEMPORAL AGGREGATION AND TESTING FOR TIMBER PRICE BEHAVIOR
• THE VARIANCE RATIO TEST: AN ANALYSIS OF SIZE AND POWER BASED ON A CONTINUOUS-TIME ASYMPTOTIC FRAMEWORK
• Asymmetric information in fads models
• Trends and random walks in macroeconomic time series
• Effects of data aggregation on the power of tests for a unit root. A simulation study
• The dynamics of speculative behaviour
• Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
• Testing for cointegration: power versus frequency of observation -- further Monte Carlo results
• Sampling at different frequencies, and the power of panel unit root tests
• Mean reversion of the current account: Evidence from the panel data unit-root test
• Temporal aggregation and the power of tests for a unit root
• New Test for a Random Walk Detection Based on the Arcsine Law
• Time aggregation and skip sampling in cointegration tests.
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
• UNIT ROOT TEST WITH HIGH-FREQUENCY DATA
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Forecasting performance of exponential smooth transition autoregressive exchange rate models
• Quantum walks via quantum cellular automata
• The long-run determinants of fertility: one century of demographic change 1900--1999
• A simple multiple variance ratio test
• Testing for cointegration: Power versus frequency of observation--another view
• The behavior of US public debt: A nonlinear perspective
• Panel unit root tests and real exchange rates
• Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data

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