The Dickey-Fuller test for exponential random walks

DOI10.1017/S0266466603195072zbMATH Open1441.62659MaRDI QIDQ4561985FDOQ4561985

Authors: Laurie Davies, Walter Krämer 

Publication date: 14 December 2018

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

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Sums of independent random variables; random walks (60G50)

Cites Work

• Title not available (Why is that?)
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES

Cited In (5)

• Wiener's test for random walks with mean zero and finite variance
• Wiener’s test for space-time random walks and its applications
• An invariant sign test for random walks based on recursive median adjustment
• Exponential functionals of integrated processes
• Sums of exponentials of random walks with drift

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