Testing the Random Walk Hypothesis: Power versus Frequency of Observation
Technical Working Paper 0045
DOI 10.3386/t0045
Issue Date
Power functions of tests of the random walk hypothesis versus stationary first order autoregressive alternatives are tabulated for samples of fixed span but various frequencies of observation.
Published Versions
Perron, Pierre and Robert J. Shiller. "Testing the Random Walk Hypothesis: Power Versus Frequency of Observation," Economic Letters, Vol. 18, 1985,pp. 381-386.
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