Four tests for the random walk hypothesis: power versus robustness

DOI10.1016/0165-1765(89)90264-4MaRDI QIDQ902628zbMATH OpenOpenAlexFDO

Authors Jagdish Handa, Barry Ma

Publication date 1 January 2016

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(89)90264-4

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

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Cites work

• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Testing For Unit Roots: 1
• Time Series Regression with a Unit Root

Cited in

(8)

• Testing the random walk hypothesis through robust estimation of correlation
• Geometric versus arithmetic random walk: The case of trended variables
• Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity
• A procedure for testing the hypothesis of weak efficiency in financial markets: a Monte Carlo simulation
• Effects of non-normality on tests of random walk models against effects of non-normality
• Testing the random walk hypothesis: power versus frequency of observation
• JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS
• scientific article; zbMATH DE number 846034 (Why is no real title available?)

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