Sums of exponentials of random walks with drift

DOI10.1017/S026646661100082XMaRDI QIDQ2909253zbMATH OpenFDO

Authors Xi Qu, Robert de Jong

Publication date 30 August 2012

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S026646661100082X

zbMATH Keywords

convergence in distributionDickey-Fuller testexponentials of random walks with driftKPSS statisticsimulationsunit root process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Asymptotic distribution theory in statistics (62E20)

Review text

Motivated by some econometric applications (e.g., macroeconomic time series), this paper deals with the exponential of a random walk process with a drift, that is a unit root process with a drift. More precisely, the authors study the asymptotic behavior of the sum of such exponentials. The main result concerns the convergence in distribution of this sum under some assumption and is presented in Section 2, followed by the conjecture that this convergence result also holds for linear processes; hence the Dickey-Fuller test and the KPSS statistic applied to that case imply asymptotic stationarity. In Section 3, some simulations using \texttt{Fortran 90} are presented. Finally, the mathematical proofs of the main results are given in the Appendix.

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Cites work

• Growth of random walks conditioned to stay positive
• scientific article; zbMATH DE number 3249395 (Why is no real title available?)
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION
• Rank tests for unit roots
• Some generalizations on the algebra of I(1) processes

Cited in

(6)

• Exact probability distribution function for the volatility of cumulative production
• scientific article; zbMATH DE number 1218125 (Why is no real title available?)
• scientific article; zbMATH DE number 468915 (Why is no real title available?)
• The Dickey-Fuller test for exponential random walks
• The sum of the reciprocal of the random walk
• Random Walks with Drift – A Sequential Approach

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