scientific article; zbMATH DE number 846034
zbMATH Open0835.62042MaRDI QIDQ4864554FDOQ4864554
Authors: M. W. Leslie Chandrakantha, Jatinder S. Mehta, P. A. V. B. Swamy 
Publication date: 20 February 1996
Title of this publication is not available (Why is that?)
Recommendations
- Four tests for the random walk hypothesis: power versus robustness
- Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model
- Effects of non-normality on tests of random walk models against effects of non-normality
- New variance ratio tests to identify random walk from the general mean reversion model
- A sequential procedure for testing the existence of a random walk model in finite samples
regression modelrandom walk modelpowers of testsratios of variancesunknown functional formratios of a sample second moment
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Sums of independent random variables; random walks (60G50)
Cited In (12)
- On the second-order random walk model for irregular locations
- Four tests for the random walk hypothesis: power versus robustness
- Random walks with drifts: Nonsense regression and spurious fixed-effect estimation
- Testing the random walk hypothesis: power versus frequency of observation
- Effects of non-normality on tests of random walk models against effects of non-normality
- An optimal test against a random walk component in a non‐orthogonal unobserved components model
- Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model
- The Dickey-Fuller test for exponential random walks
- Circumstances in which different criteria of estimation can be applied to estimate policy effects
- JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS
- New variance ratio tests to identify random walk from the general mean reversion model
- A sequential procedure for testing the existence of a random walk model in finite samples
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4864554)
