Testing the random walk hypothesis: power versus frequency of observation

DOI10.1016/0165-1765(85)90058-8zbMath1273.91383OpenAlexW3097316749MaRDI QIDQ375146

Robert J. Shiller, Pierre Perron

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)

Related Items (34)

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

Cites Work

• Testing the autoregressive parameter with the t statistic
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for Unit Roots: 2
• Testing For Unit Roots: 1
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Unnamed Item

This page was built for publication: Testing the random walk hypothesis: power versus frequency of observation