The Dickey-Fuller test for exponential random walks

DOI10.1017/S0266466603195072MaRDI QIDQ4561985zbMATHFDO

Authors Laurie Davies, Walter Krämer

Publication date 14 December 2018

Published in Econometric Theory (Search for Journal in Brave)

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)

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• scientific article; zbMATH DE number 846034

Cites work

• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES

Cited in

(5)

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

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