Testing the random walk hypothesis: power versus frequency of observation
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Publication:375146
DOI10.1016/0165-1765(85)90058-8zbMATH Open1273.91383OpenAlexW3097316749MaRDI QIDQ375146FDOQ375146
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Cites work
- scientific article; zbMATH DE number 3550005 (Why is no real title available?)
- 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 for Unit Roots: 2
- Testing the autoregressive parameter with the t statistic
Cited in
(34)- Trends and random walks in macroeconomic time series
- The effect of seasonal adjustment filters on tests for a unit root (with discussion)
- Estimation of fractional integration under temporal aggregation
- Sampling at different frequencies, and the power of panel unit root tests
- PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
- Monitoring disruptions in financial markets
- New Test for a Random Walk Detection Based on the Arcsine Law
- Effects of data aggregation on the power of tests for a unit root. A simulation study
- Tests for cointegration. A Monte Carlo comparison
- Semiparametric estimation of long-memory volatility dependencies: The role of 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
- Testing for unit roots in flow data sampled at different frequencies
- Panel unit root tests and real exchange rates
- The dynamics of speculative behaviour
- The long-run determinants of fertility: one century of demographic change 1900--1999
- Testing for cointegration: power versus frequency of observation -- further Monte Carlo results
- Testing for exuberance in house prices using data sampled at different frequencies
- Unit root testing
- Testing for cointegration: Power versus frequency of observation--another view
- Unit root test with high-frequency data
- Long memory processes and fractional integration in econometrics
- The behavior of US public debt: A nonlinear perspective
- Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
- TEMPORAL AGGREGATION AND TESTING FOR TIMBER PRICE BEHAVIOR
- Time aggregation and skip sampling in cointegration tests.
- THE VARIANCE RATIO TEST: AN ANALYSIS OF SIZE AND POWER BASED ON A CONTINUOUS-TIME ASYMPTOTIC FRAMEWORK
- Asymmetric information in fads models
- Mean reversion of the current account: Evidence from the panel data unit-root test
- Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
- Using stochastic growth models to understand unit roots and breaking trends
- Temporal aggregation and the power of tests for a unit root
- A simple multiple variance ratio test
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